# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-26-001806
**Filing Date:** 2026-1
**Character Count:** 2422184
**Document Hash:** 1887587f4a4e9ad637e9d0ae9f0fd388
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-001806.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0002071691-26-001806

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260128

**DATE AS OF CHANGE**: 20260128

**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:** 26571327

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

**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 November 30, 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 November 30, 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 — 30.6%** | **U.S. Treasury Obligations — 30.6%** | **U.S. Treasury Obligations — 30.6%** |
| &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; 54960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 29845 | &nbsp;&nbsp;&nbsp;&nbsp; 19114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 54475 | &nbsp;&nbsp;&nbsp;&nbsp; 51270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 207900 | &nbsp;&nbsp;&nbsp;&nbsp; 156014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 289890 | &nbsp;&nbsp;&nbsp;&nbsp; 227303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 138080 | &nbsp;&nbsp;&nbsp;&nbsp; 113986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3905 | &nbsp;&nbsp;&nbsp;&nbsp; 3583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 101570 | &nbsp;&nbsp;&nbsp;&nbsp; 92992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 531973 | &nbsp;&nbsp;&nbsp;&nbsp; 468843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 44779 | &nbsp;&nbsp;&nbsp;&nbsp; 43651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 256218 | &nbsp;&nbsp;&nbsp;&nbsp; 229265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 2/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 198360 | &nbsp;&nbsp;&nbsp;&nbsp; 173952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 50821 | &nbsp;&nbsp;&nbsp;&nbsp; 40202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 9035 | &nbsp;&nbsp;&nbsp;&nbsp; 7072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 2/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 70000 | &nbsp;&nbsp;&nbsp;&nbsp; 49954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 179932 | &nbsp;&nbsp;&nbsp;&nbsp; 121454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5431 | &nbsp;&nbsp;&nbsp;&nbsp; 4192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 78220 | &nbsp;&nbsp;&nbsp;&nbsp; 59750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 43243 | &nbsp;&nbsp;&nbsp;&nbsp; 33714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp; 3192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 12946 | &nbsp;&nbsp;&nbsp;&nbsp; 9543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 180150 | &nbsp;&nbsp;&nbsp;&nbsp; 116260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 98830 | &nbsp;&nbsp;&nbsp;&nbsp; 65351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 76853 | &nbsp;&nbsp;&nbsp;&nbsp; 46472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 5/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4667 | &nbsp;&nbsp;&nbsp;&nbsp; 2315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 551004 | &nbsp;&nbsp;&nbsp;&nbsp; 280259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 62475 | &nbsp;&nbsp;&nbsp;&nbsp; 33917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 204145 | &nbsp;&nbsp;&nbsp;&nbsp; 117894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 166815 | &nbsp;&nbsp;&nbsp;&nbsp; 108508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 144750 | &nbsp;&nbsp;&nbsp;&nbsp; 85736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 11/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 200075 | &nbsp;&nbsp;&nbsp;&nbsp; 114394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 150605 | &nbsp;&nbsp;&nbsp;&nbsp; 94369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 131125 | &nbsp;&nbsp;&nbsp;&nbsp; 94502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 172625 | &nbsp;&nbsp;&nbsp;&nbsp; 127527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 28800 | &nbsp;&nbsp;&nbsp;&nbsp; 24027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 5/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 33110 | &nbsp;&nbsp;&nbsp;&nbsp; 32823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 8/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6595 | &nbsp;&nbsp;&nbsp;&nbsp; 6142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 20140 | &nbsp;&nbsp;&nbsp;&nbsp; 19561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 5/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 26990 | &nbsp;&nbsp;&nbsp;&nbsp; 27315 |
| &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; 3256 | &nbsp;&nbsp;&nbsp;&nbsp; 3289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 18206 | &nbsp;&nbsp;&nbsp;&nbsp; 19195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5426 | &nbsp;&nbsp;&nbsp;&nbsp; 5630 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 195000 | &nbsp;&nbsp;&nbsp;&nbsp; 194997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 1/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 45675 | &nbsp;&nbsp;&nbsp;&nbsp; 45403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 2/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 403160 | &nbsp;&nbsp;&nbsp;&nbsp; 399836 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 2.50%, 2/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12550 | &nbsp;&nbsp;&nbsp;&nbsp; 12509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 4/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 15670 | &nbsp;&nbsp;&nbsp;&nbsp; 15474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 6/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 248957 | &nbsp;&nbsp;&nbsp;&nbsp; 244878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 265210 | &nbsp;&nbsp;&nbsp;&nbsp; 267158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 12/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 64262 | &nbsp;&nbsp;&nbsp;&nbsp; 62997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 1/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5196 | &nbsp;&nbsp;&nbsp;&nbsp; 5072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 2/28/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 250000 | &nbsp;&nbsp;&nbsp;&nbsp; 251582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 5/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 200000 | &nbsp;&nbsp;&nbsp;&nbsp; 197297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 7/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 113240 | &nbsp;&nbsp;&nbsp;&nbsp; 111798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 111315 | &nbsp;&nbsp;&nbsp;&nbsp; 110554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 9/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 31575 | &nbsp;&nbsp;&nbsp;&nbsp; 29830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 318905 | &nbsp;&nbsp;&nbsp;&nbsp; 322505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 53280 | &nbsp;&nbsp;&nbsp;&nbsp; 54085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 160035 | &nbsp;&nbsp;&nbsp;&nbsp; 152096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 3/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 4/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 85520 | &nbsp;&nbsp;&nbsp;&nbsp; 81114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7030 | &nbsp;&nbsp;&nbsp;&nbsp; 6928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 782088 | &nbsp;&nbsp;&nbsp;&nbsp; 739103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 7/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 149415 | &nbsp;&nbsp;&nbsp;&nbsp; 140007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 48420 | &nbsp;&nbsp;&nbsp;&nbsp; 45878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/28/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 218300 | &nbsp;&nbsp;&nbsp;&nbsp; 207376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 4/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 617050 | &nbsp;&nbsp;&nbsp;&nbsp; 604155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 270000 | &nbsp;&nbsp;&nbsp;&nbsp; 267374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 86645 | &nbsp;&nbsp;&nbsp;&nbsp; 85362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 9/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 175000 | &nbsp;&nbsp;&nbsp;&nbsp; 177003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 113000 | &nbsp;&nbsp;&nbsp;&nbsp; 114814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 12/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 33345 | &nbsp;&nbsp;&nbsp;&nbsp; 34362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 7/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 45000 | &nbsp;&nbsp;&nbsp;&nbsp; 45538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 9/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 80000 | &nbsp;&nbsp;&nbsp;&nbsp; 80075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 315775 | &nbsp;&nbsp;&nbsp;&nbsp; 333587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 23990 | &nbsp;&nbsp;&nbsp;&nbsp; 21603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 115000 | &nbsp;&nbsp;&nbsp;&nbsp; 100706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 28783 | &nbsp;&nbsp;&nbsp;&nbsp; 25219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14685 | &nbsp;&nbsp;&nbsp;&nbsp; 15309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 1/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 37635 | &nbsp;&nbsp;&nbsp;&nbsp; 38974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 292700 | &nbsp;&nbsp;&nbsp;&nbsp; 262813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 2/29/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 30654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 116650 | &nbsp;&nbsp;&nbsp;&nbsp; 110836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 5/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 264440 | &nbsp;&nbsp;&nbsp;&nbsp; 270101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 7/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 228000 | &nbsp;&nbsp;&nbsp;&nbsp; 231108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 171000 | &nbsp;&nbsp;&nbsp;&nbsp; 160707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 10/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 108995 | &nbsp;&nbsp;&nbsp;&nbsp; 108740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp; 21432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14250 | &nbsp;&nbsp;&nbsp;&nbsp; 14277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1304950 | &nbsp;&nbsp;&nbsp;&nbsp; 1361889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 972166 | &nbsp;&nbsp;&nbsp;&nbsp; 979837 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 3.88%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 826090 | &nbsp;&nbsp;&nbsp;&nbsp; 822669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 450920 | &nbsp;&nbsp;&nbsp;&nbsp; 461030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 5/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 61730 | &nbsp;&nbsp;&nbsp;&nbsp; 63003 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury STRIPS Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.18%, 2/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6700 | &nbsp;&nbsp;&nbsp;&nbsp; 6648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.48%, 5/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24999 | &nbsp;&nbsp;&nbsp;&nbsp; 24580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.71%, 11/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10990 | &nbsp;&nbsp;&nbsp;&nbsp; 10621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.44%, 11/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp; 46666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 8/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp;&nbsp;&nbsp; 87542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 8/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 63190 | &nbsp;&nbsp;&nbsp;&nbsp; 53140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.21%, 11/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 195970 | &nbsp;&nbsp;&nbsp;&nbsp; 163145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.72%, 2/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 449750 | &nbsp;&nbsp;&nbsp;&nbsp; 370456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.67%, 5/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 261915 | &nbsp;&nbsp;&nbsp;&nbsp; 213587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.73%, 8/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 567895 | &nbsp;&nbsp;&nbsp;&nbsp; 458140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.69%, 11/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 167615 | &nbsp;&nbsp;&nbsp;&nbsp; 133682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.34%, 5/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 113297 | &nbsp;&nbsp;&nbsp;&nbsp; 88315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.92%, 8/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 149800 | &nbsp;&nbsp;&nbsp;&nbsp; 115443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.42%, 11/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 122788 | &nbsp;&nbsp;&nbsp;&nbsp; 93599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.53%, 2/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 36300 | &nbsp;&nbsp;&nbsp;&nbsp; 27341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.81%, 5/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 108105 | &nbsp;&nbsp;&nbsp;&nbsp; 80530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.84%, 8/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24963 | &nbsp;&nbsp;&nbsp;&nbsp; 18381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.74%, 11/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 60239 | &nbsp;&nbsp;&nbsp;&nbsp; 43837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.08%, 8/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17900 | &nbsp;&nbsp;&nbsp;&nbsp; 9583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.62%, 8/15/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31482 | &nbsp;&nbsp;&nbsp;&nbsp; 15867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.21%, 11/15/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 216030 | &nbsp;&nbsp;&nbsp;&nbsp; 107377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 2/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 138670 | &nbsp;&nbsp;&nbsp;&nbsp; 67931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.24%, 8/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 178550 | &nbsp;&nbsp;&nbsp;&nbsp; 85165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.18%, 2/15/2043 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16580 | &nbsp;&nbsp;&nbsp;&nbsp; 7245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 5/15/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19005 | &nbsp;&nbsp;&nbsp;&nbsp; 6984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $17,195,740)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 16308876 |
| **Corporate Bonds — 24.5%** | **Corporate Bonds — 24.5%** | **Corporate Bonds — 24.5%** |
| **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; 876 |
| &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; 13122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 10/11/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 9/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5645 | &nbsp;&nbsp;&nbsp;&nbsp; 3858 |
| &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; 10950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 2/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22360 | &nbsp;&nbsp;&nbsp;&nbsp; 22270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9560 | &nbsp;&nbsp;&nbsp;&nbsp; 9515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9155 | &nbsp;&nbsp;&nbsp;&nbsp; 9245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 14590 | &nbsp;&nbsp;&nbsp;&nbsp; 15038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.39%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11580 | &nbsp;&nbsp;&nbsp;&nbsp; 12599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5076 | &nbsp;&nbsp;&nbsp;&nbsp; 4632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.53%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 19270 | &nbsp;&nbsp;&nbsp;&nbsp; 21428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 12565 | &nbsp;&nbsp;&nbsp;&nbsp; 12908 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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;&nbsp;&nbsp;&nbsp;&nbsp; 5.81%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 13942 |
| &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; 23041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 7/31/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11863 | &nbsp;&nbsp;&nbsp;&nbsp; 12465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 4/27/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1918 | &nbsp;&nbsp;&nbsp;&nbsp; 1930 |
| &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; 7222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp; 9135 |
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp. 5.15%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 13073 |
| &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; 12473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 13927 | &nbsp;&nbsp;&nbsp;&nbsp; 12708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7861 | &nbsp;&nbsp;&nbsp;&nbsp; 6669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7060 | &nbsp;&nbsp;&nbsp;&nbsp; 5560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 4/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4020 | &nbsp;&nbsp;&nbsp;&nbsp; 3467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.82%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 6382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3840 | &nbsp;&nbsp;&nbsp;&nbsp; 2549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 5495 | &nbsp;&nbsp;&nbsp;&nbsp; 6154 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 275857 |
| **Automobiles — 0.1%** | **Automobiles — 0.1%** | **Automobiles — 0.1%** |
| &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; 1.30%, 1/8/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7365 | &nbsp;&nbsp;&nbsp;&nbsp; 7342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 6/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17530 | &nbsp;&nbsp;&nbsp;&nbsp; 17279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9020 | &nbsp;&nbsp;&nbsp;&nbsp; 8727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 1/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12950 | &nbsp;&nbsp;&nbsp;&nbsp; 12319 |
| &nbsp;&nbsp;&nbsp; Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12937 | &nbsp;&nbsp;&nbsp;&nbsp; 11237 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 56904 |
| **Banks — 7.4%** | **Banks — 7.4%** | **Banks — 7.4%** |
| &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; 17996 |
| &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; 15054 |
| &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; 19600 | &nbsp;&nbsp;&nbsp;&nbsp; 20395 |
| &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; 8239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.32%, 5/15/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16965 | &nbsp;&nbsp;&nbsp;&nbsp; 17541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.91%), 5.87%, 3/28/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 42860 | &nbsp;&nbsp;&nbsp;&nbsp; 45582 |
| &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; 1836 |
| &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; 6277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.59%, 8/8/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 37800 | &nbsp;&nbsp;&nbsp;&nbsp; 39212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.44%, 7/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 17400 | &nbsp;&nbsp;&nbsp;&nbsp; 18346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 11/6/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 21200 | &nbsp;&nbsp;&nbsp;&nbsp; 21372 |
| &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; 6068 |
| &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; 9465 |
| &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; 21097 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 + 1.21%), 2.57%, 10/20/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19870 | &nbsp;&nbsp;&nbsp;&nbsp; 18029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.16%), 5.02%, 7/22/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26230 | &nbsp;&nbsp;&nbsp;&nbsp; 26988 |
| &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; 31066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.31%), 5.51%, 1/24/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 53000 | &nbsp;&nbsp;&nbsp;&nbsp; 55938 |
| &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; 40715 |
| &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; 33783 |
| &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; 34658 |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) (SOFRINDX + 1.08%), 4.35%, 9/22/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20510 | &nbsp;&nbsp;&nbsp;&nbsp; 20543 |
| &nbsp;&nbsp;&nbsp; Bank of New Zealand (New Zealand) 5.08%, 1/30/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16360 | &nbsp;&nbsp;&nbsp;&nbsp; 16861 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) 4.85%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7526 | &nbsp;&nbsp;&nbsp;&nbsp; 7717 |
| &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; 23356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.79%, 7/13/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24190 | &nbsp;&nbsp;&nbsp;&nbsp; 25167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 1/22/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13575 | &nbsp;&nbsp;&nbsp;&nbsp; 14179 |
| &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; 8558 |
| &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; 52929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 4.94%, 9/10/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10846 | &nbsp;&nbsp;&nbsp;&nbsp; 11063 |
| &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; 18354 |
| &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; 9497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.98%), 6.22%, 5/9/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7324 | &nbsp;&nbsp;&nbsp;&nbsp; 7922 |
| &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; 16911 |
| &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; (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; 2568 |
| &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; 21107 |
| &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; 27228 |
| &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; 78660 |
| &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; 34008 |
| &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; 11855 |
| &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; 17298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 7/19/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2915 | &nbsp;&nbsp;&nbsp;&nbsp; 2946 |
| &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; 23881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.28%, 5/30/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9560 | &nbsp;&nbsp;&nbsp;&nbsp; 9886 |
| &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; 31274 |
| &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; 11962 |
| &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; 11991 |
| &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; 44421 |
| &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; 13558 |
| &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; 24589 |
| &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; 12535 |
| &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; 16185 |
| &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; 52739 |
| &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; 27576 | &nbsp;&nbsp;&nbsp;&nbsp; 28101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.36%), 4.89%, 7/3/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 49395 | &nbsp;&nbsp;&nbsp;&nbsp; 50272 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 + 2.77%), 6.84%, 9/13/2034 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10504 | &nbsp;&nbsp;&nbsp;&nbsp; 11801 |
| &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; 32906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.79%), 5.58%, 7/3/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26134 | &nbsp;&nbsp;&nbsp;&nbsp; 27117 |
| &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; 3367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/7/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7645 |
| &nbsp;&nbsp;&nbsp; Capital One NA 4.25%, 3/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8109 | &nbsp;&nbsp;&nbsp;&nbsp; 8109 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6200 | &nbsp;&nbsp;&nbsp;&nbsp; 6211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 9/29/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1491 | &nbsp;&nbsp;&nbsp;&nbsp; 1498 |
| &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; 41033 |
| &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; 10985 |
| &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; 6395 |
| &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; 21398 |
| &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; 18874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.17%), 4.50%, 9/11/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23430 | &nbsp;&nbsp;&nbsp;&nbsp; 23594 |
| &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; 3065 |
| &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; 54783 |
| &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; 33213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.49%), 5.17%, 9/11/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19340 | &nbsp;&nbsp;&nbsp;&nbsp; 19737 |
| &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; 1417 |
| &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; 3.75%, 7/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8564 | &nbsp;&nbsp;&nbsp;&nbsp; 8533 |
| &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; 12724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.92%), 4.99%, 5/27/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25880 | &nbsp;&nbsp;&nbsp;&nbsp; 26558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 5.71%, 1/21/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 21400 | &nbsp;&nbsp;&nbsp;&nbsp; 22692 |
| &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; 13005 |
| &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; 15308 |
| &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; 13850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.46%), 5.22%, 5/27/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 42640 | &nbsp;&nbsp;&nbsp;&nbsp; 43967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.36%), 4.82%, 9/25/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 22790 | &nbsp;&nbsp;&nbsp;&nbsp; 22842 |
| &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; 48619 |
| &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; 30353 |
| &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; 10530 |
| &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; 13740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 4.42%, 9/12/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14355 | &nbsp;&nbsp;&nbsp;&nbsp; 14339 |
| &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; 21388 |
| &nbsp;&nbsp;&nbsp; Fifth Third Bancorp (SOFR + 1.84%), 5.63%, 1/29/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8401 | &nbsp;&nbsp;&nbsp;&nbsp; 8837 |
| &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; (SOFR + 1.73%), 2.01%, 9/22/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25865 | &nbsp;&nbsp;&nbsp;&nbsp; 24906 |
| &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; 12785 |
| &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; 44571 |
| &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; 11494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 5.24%, 5/13/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17890 | &nbsp;&nbsp;&nbsp;&nbsp; 18498 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 + 1.95%), 2.36%, 8/18/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20470 | &nbsp;&nbsp;&nbsp;&nbsp; 18688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.19%), 4.62%, 11/6/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8585 | &nbsp;&nbsp;&nbsp;&nbsp; 8641 |
| &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; 11917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.43%), 5.13%, 11/6/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15845 | &nbsp;&nbsp;&nbsp;&nbsp; 15988 |
| &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; 4246 |
| &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; 17715 |
| &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; 13672 |
| &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; 2568 |
| &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; 8768 |
| &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; 7184 |
| &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; 40505 |
| &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; 27215 |
| &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; 3787 |
| &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; 4700 |
| &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; 12011 |
| &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; 6900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6745 | &nbsp;&nbsp;&nbsp;&nbsp; 6790 |
| &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; 20485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.97%), 4.94%, 11/4/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 39385 | &nbsp;&nbsp;&nbsp;&nbsp; 39254 |
| &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; 17369 |
| &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; 14279 |
| &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; 21345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.19%, 9/12/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19000 | &nbsp;&nbsp;&nbsp;&nbsp; 19501 |
| &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; 16510 |
| &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; 10735 |
| &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; 27463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.92%), 4.71%, 7/8/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 30645 | &nbsp;&nbsp;&nbsp;&nbsp; 31102 |
| &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; 16013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.32%, 7/8/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 41825 | &nbsp;&nbsp;&nbsp;&nbsp; 43337 |
| &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 + 1.35%), 5.85%, 3/2/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8560 | &nbsp;&nbsp;&nbsp;&nbsp; 8592 |
| &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; 30164 |
| &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; 4670 |
| &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; 15190 |
| &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; 26099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.12%, 5/23/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14675 | &nbsp;&nbsp;&nbsp;&nbsp; 15106 |
| &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; 44201 |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) 5.41%, 5/17/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20945 | &nbsp;&nbsp;&nbsp;&nbsp; 21813 |
| &nbsp;&nbsp;&nbsp; Norinchukin Bank (The) (Japan) 4.67%, 9/9/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12700 | &nbsp;&nbsp;&nbsp;&nbsp; 12835 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 29182 |
| &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; 21804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.42%), 5.37%, 7/21/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9715 | &nbsp;&nbsp;&nbsp;&nbsp; 10064 |
| &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; 34690 |
| &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; 31046 |
| &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; 15045 |
| &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; 14622 |
| &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; 47074 |
| &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; 21048 |
| &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; 36572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.58%), 5.14%, 9/22/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 24590 | &nbsp;&nbsp;&nbsp;&nbsp; 24585 |
| &nbsp;&nbsp;&nbsp; Skandinaviska Enskilda Banken AB (Sweden) 4.50%, 9/3/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15500 | &nbsp;&nbsp;&nbsp;&nbsp; 15593 |
| &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; 25991 |
| &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; 7545 |
| &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; 11289 | &nbsp;&nbsp;&nbsp;&nbsp; 11762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 1/22/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6844 | &nbsp;&nbsp;&nbsp;&nbsp; 6445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.51%, 5/22/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 56590 | &nbsp;&nbsp;&nbsp;&nbsp; 58604 |
| &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; 28173 |
| &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; 38855 |
| &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; 21602 | &nbsp;&nbsp;&nbsp;&nbsp; 23647 |
| &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; 17344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 5.44%, 10/3/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 30570 | &nbsp;&nbsp;&nbsp;&nbsp; 30889 |
| &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 + 1.05%), 5.69%, 5/14/2028 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15994 | &nbsp;&nbsp;&nbsp;&nbsp; 16313 |
| &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; 7725 | &nbsp;&nbsp;&nbsp;&nbsp; 7897 |
| &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; 2496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.72%, 9/14/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25582 | &nbsp;&nbsp;&nbsp;&nbsp; 26690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 25422 | &nbsp;&nbsp;&nbsp;&nbsp; 24468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 1/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 23065 | &nbsp;&nbsp;&nbsp;&nbsp; 24361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.24%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 23100 | &nbsp;&nbsp;&nbsp;&nbsp; 24034 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) 5.30%, 1/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 25100 | &nbsp;&nbsp;&nbsp;&nbsp; 26354 |
| &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; 27321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.45%), 7.16%, 10/30/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5344 | &nbsp;&nbsp;&nbsp;&nbsp; 5786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.31%), 5.07%, 5/20/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 8234 |
| &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; 12898 |
| &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; 10665 |
| &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; 11378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.40%), 4.96%, 10/23/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 40260 | &nbsp;&nbsp;&nbsp;&nbsp; 40056 |
| &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; 10762 |
| &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; 19861 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 + 1.86%), 5.68%, 1/23/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12600 | &nbsp;&nbsp;&nbsp;&nbsp; 13396 |
| &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; 2937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.74%), 5.57%, 7/25/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15412 | &nbsp;&nbsp;&nbsp;&nbsp; 15973 |
| &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; 48899 |
| &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; 23023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.10%), 4.90%, 7/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15023 | &nbsp;&nbsp;&nbsp;&nbsp; 15368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.02%), 5.39%, 4/24/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 18175 | &nbsp;&nbsp;&nbsp;&nbsp; 19053 |
| &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; 17704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 5.21%, 12/3/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 95840 | &nbsp;&nbsp;&nbsp;&nbsp; 98980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.74%), 5.61%, 4/23/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 93141 | &nbsp;&nbsp;&nbsp;&nbsp; 98786 |
| &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; 8781 |
| &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; 2468 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3917238 |
| **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; 21791 |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide, Inc. (Belgium) 5.80%, 1/23/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp;&nbsp;&nbsp; 631 |
| &nbsp;&nbsp;&nbsp; Coca-Cola Femsa SAB de CV (Mexico) 1.85%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11205 | &nbsp;&nbsp;&nbsp;&nbsp; 9448 |
| &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; 5050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/9/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3680 | &nbsp;&nbsp;&nbsp;&nbsp; 3105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3091 | &nbsp;&nbsp;&nbsp;&nbsp; 2898 |
| &nbsp;&nbsp;&nbsp; Keurig Dr. Pepper, Inc. 3.20%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 12810 |
| &nbsp;&nbsp;&nbsp; Molson Coors Beverage Co. 4.20%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 20196 | &nbsp;&nbsp;&nbsp;&nbsp; 16538 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 72271 |
| **Biotechnology — 0.4%** | **Biotechnology — 0.4%** | **Biotechnology — 0.4%** |
| &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; 11170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3881 | &nbsp;&nbsp;&nbsp;&nbsp; 3865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/14/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 15614 | &nbsp;&nbsp;&nbsp;&nbsp; 15493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/21/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 33708 | &nbsp;&nbsp;&nbsp;&nbsp; 30498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 9850 | &nbsp;&nbsp;&nbsp;&nbsp; 9112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 11/6/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 12902 | &nbsp;&nbsp;&nbsp;&nbsp; 11721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 5/14/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2145 | &nbsp;&nbsp;&nbsp;&nbsp; 1903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/21/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10194 | &nbsp;&nbsp;&nbsp;&nbsp; 8606 |
| &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; 17912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 2/21/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 6415 | &nbsp;&nbsp;&nbsp;&nbsp; 5132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 3/2/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 23181 | &nbsp;&nbsp;&nbsp;&nbsp; 23685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.66%, 6/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 17300 | &nbsp;&nbsp;&nbsp;&nbsp; 15163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 3/2/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 16083 | &nbsp;&nbsp;&nbsp;&nbsp; 16158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/2/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7514 |
| &nbsp;&nbsp;&nbsp; Baxalta, Inc. 5.25%, 6/23/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp;&nbsp;&nbsp; 318 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 8208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 36128 | &nbsp;&nbsp;&nbsp;&nbsp; 26975 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 219929 |
| **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; 3.95%, 4/13/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 27400 | &nbsp;&nbsp;&nbsp;&nbsp; 22037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/12/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 4636 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 26673 |
| **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; 3665 | &nbsp;&nbsp;&nbsp;&nbsp; 3285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10095 | &nbsp;&nbsp;&nbsp;&nbsp; 11210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3130 | &nbsp;&nbsp;&nbsp;&nbsp; 2708 |
| &nbsp;&nbsp;&nbsp; Trane Technologies Financing Ltd. 5.25%, 3/3/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10410 | &nbsp;&nbsp;&nbsp;&nbsp; 10891 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 28094 |
| **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; 22050 |
| &nbsp;&nbsp;&nbsp; Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3107 | &nbsp;&nbsp;&nbsp;&nbsp; 2700 |
| &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; 3650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 3/29/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5160 | &nbsp;&nbsp;&nbsp;&nbsp; 5251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp; 931 |
| &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; 14378 |
| &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; 4864 |
| &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; 25407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.18%), 6.72%, 1/18/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8661 | &nbsp;&nbsp;&nbsp;&nbsp; 9080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.41%, 5/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16725 | &nbsp;&nbsp;&nbsp;&nbsp; 17420 |
| &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; 11963 |
| &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; 7079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.72%), 5.30%, 5/9/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 44058 | &nbsp;&nbsp;&nbsp;&nbsp; 45278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.30%), 4.95%, 8/4/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26935 | &nbsp;&nbsp;&nbsp;&nbsp; 27326 |
| &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; 16454 |
| &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; 7352 |
| &nbsp;&nbsp;&nbsp; FMR LLC 6.45%, 11/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp;&nbsp;&nbsp; 2509 |
| &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; 14597 |
| &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; 15283 |
| &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; 18548 |
| &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; 27908 |
| &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; 26232 |
| &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; 40795 |
| &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; 10701 |
| &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; 11559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.41%), 3.10%, 2/24/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23688 | &nbsp;&nbsp;&nbsp;&nbsp; 21924 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 + 1.55%), 5.33%, 7/23/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 53955 | &nbsp;&nbsp;&nbsp;&nbsp; 55994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 5.54%, 1/28/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 13622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.33%), 4.94%, 10/21/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 44510 | &nbsp;&nbsp;&nbsp;&nbsp; 44676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1435 | &nbsp;&nbsp;&nbsp;&nbsp; 1616 |
| &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; 4180 |
| &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; 15122 |
| &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; 780 |
| &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; 4330 |
| &nbsp;&nbsp;&nbsp; Jefferies Financial Group, Inc. 6.45%, 6/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3725 | &nbsp;&nbsp;&nbsp;&nbsp; 3834 |
| &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; 7386 |
| &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; 1644 |
| &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; 5698 |
| &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; 13064 |
| &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; 14086 |
| &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; 17659 |
| &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; 5153 |
| &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; 16463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series I, (SOFR + 1.07%), 4.36%, 10/22/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 28385 | &nbsp;&nbsp;&nbsp;&nbsp; 28416 |
| &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; 9871 |
| &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; 29479 |
| &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; 9743 |
| &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; 11671 |
| &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; 22510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series I, (SOFR + 1.31%), 4.89%, 10/22/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 18980 | &nbsp;&nbsp;&nbsp;&nbsp; 19042 |
| &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; 10057 |
| &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; 7390 |
| &nbsp;&nbsp;&nbsp; Nasdaq, Inc. 5.55%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7712 | &nbsp;&nbsp;&nbsp;&nbsp; 8150 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) 2.68%, 7/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12180 | &nbsp;&nbsp;&nbsp;&nbsp; 11270 |
| &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; 2718 |
| &nbsp;&nbsp;&nbsp; State Street Corp.  | &nbsp;&nbsp;&nbsp; State Street Corp.  | &nbsp;&nbsp;&nbsp; State Street Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 4.82%, 1/26/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9010 | &nbsp;&nbsp;&nbsp;&nbsp; 9189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 4.78%, 10/23/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13330 | &nbsp;&nbsp;&nbsp;&nbsp; 13375 |
| &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; (3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2991 | &nbsp;&nbsp;&nbsp;&nbsp; 2973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.06%), 4.40%, 9/23/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8035 | &nbsp;&nbsp;&nbsp;&nbsp; 8032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 4.84%, 11/6/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 37905 | &nbsp;&nbsp;&nbsp;&nbsp; 38209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 6.30%, 9/22/2034 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9855 | &nbsp;&nbsp;&nbsp;&nbsp; 10803 |
| &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; 8392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.34%), 5.01%, 3/23/2037 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 32415 | &nbsp;&nbsp;&nbsp;&nbsp; 32421 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 930257 |
| **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; 3604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 16825 | &nbsp;&nbsp;&nbsp;&nbsp; 15261 |
| &nbsp;&nbsp;&nbsp; DuPont de Nemours, Inc. 5.32%, 11/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp; 11469 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; International Flavors & Fragrances, Inc. 2.30%, 11/1/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22672 | &nbsp;&nbsp;&nbsp;&nbsp; 20449 |
| &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; 6088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 1/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4729 | &nbsp;&nbsp;&nbsp;&nbsp; 4495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4150 | &nbsp;&nbsp;&nbsp;&nbsp; 3797 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 65163 |
| **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; 25534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.64%, 3/13/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6890 | &nbsp;&nbsp;&nbsp;&nbsp; 7011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.32%, 12/4/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25788 | &nbsp;&nbsp;&nbsp;&nbsp; 27213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 3/25/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23200 | &nbsp;&nbsp;&nbsp;&nbsp; 23771 |
| &nbsp;&nbsp;&nbsp; Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 2341 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 85870 |
| **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** |
| &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; 15265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 8/9/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 26000 | &nbsp;&nbsp;&nbsp;&nbsp; 26304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp;&nbsp; 2499 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 44068 |
| **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; 5779 |
| **Consumer Finance — 1.1%** | **Consumer Finance — 1.1%** | **Consumer Finance — 1.1%** |
| &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; 2.45%, 10/29/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 39380 | &nbsp;&nbsp;&nbsp;&nbsp; 38787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 1/19/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3835 | &nbsp;&nbsp;&nbsp;&nbsp; 3928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 9/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22915 | &nbsp;&nbsp;&nbsp;&nbsp; 23188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 1/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12605 | &nbsp;&nbsp;&nbsp;&nbsp; 11676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 14740 | &nbsp;&nbsp;&nbsp;&nbsp; 14651 |
| &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; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/1/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11525 | &nbsp;&nbsp;&nbsp;&nbsp; 12048 |
| &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; 14773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 4.92%, 7/20/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16625 | &nbsp;&nbsp;&nbsp;&nbsp; 17031 |
| &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; 5982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.24%), 4.80%, 10/24/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 28320 | &nbsp;&nbsp;&nbsp;&nbsp; 28178 |
| &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; 41037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 2/21/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28294 | &nbsp;&nbsp;&nbsp;&nbsp; 28080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 4/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 56405 | &nbsp;&nbsp;&nbsp;&nbsp; 56390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 5/1/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29066 | &nbsp;&nbsp;&nbsp;&nbsp; 29009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 11/18/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29501 | &nbsp;&nbsp;&nbsp;&nbsp; 28519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 1/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25172 | &nbsp;&nbsp;&nbsp;&nbsp; 25455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19965 | &nbsp;&nbsp;&nbsp;&nbsp; 20300 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; (SOFR + 0.86%), 1.88%, 11/2/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2798 | &nbsp;&nbsp;&nbsp;&nbsp; 2738 |
| &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; 31045 |
| &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; 14728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.20%, 9/11/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7487 |
| &nbsp;&nbsp;&nbsp; HSBC Finance Corp. 7.63%, 5/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 9774 |
| &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; 34839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 3/26/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27694 | &nbsp;&nbsp;&nbsp;&nbsp; 29111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 3/17/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14928 | &nbsp;&nbsp;&nbsp;&nbsp; 15141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 3/26/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13550 | &nbsp;&nbsp;&nbsp;&nbsp; 14529 |
| &nbsp;&nbsp;&nbsp; Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13025 | &nbsp;&nbsp;&nbsp;&nbsp; 13564 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 572142 |
| **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; 3239 | &nbsp;&nbsp;&nbsp;&nbsp; 3454 |
| &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; 9287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 7/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 829 | &nbsp;&nbsp;&nbsp;&nbsp; 839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 8533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 8658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6950 | &nbsp;&nbsp;&nbsp;&nbsp; 6776 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 37547 |
| **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 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6158 |
| &nbsp;&nbsp;&nbsp; Smurfit Westrock Financing DAC (Ireland) 5.42%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5760 | &nbsp;&nbsp;&nbsp;&nbsp; 5955 |
| &nbsp;&nbsp;&nbsp; WRKCo, Inc. 3.90%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2870 | &nbsp;&nbsp;&nbsp;&nbsp; 2852 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14965 |
| **Diversified — 0.4%** | **Diversified — 0.4%** | **Diversified — 0.4%** |
| &nbsp;&nbsp;&nbsp; Ygrene Frn 8.50%, 7/25/2045 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 186674 | &nbsp;&nbsp;&nbsp;&nbsp; 186674 |
| **Diversified Consumer Services — 0.0% ^** | **Diversified Consumer Services — 0.0% ^** | **Diversified Consumer Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Claremont Mckenna College Series 2019, 3.38%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 7228 |
| &nbsp;&nbsp;&nbsp; Pepperdine University Series 2020, 3.30%, 12/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 9620 | &nbsp;&nbsp;&nbsp;&nbsp; 6113 |
| &nbsp;&nbsp;&nbsp; University of Miami Series 2022, 4.06%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6570 | &nbsp;&nbsp;&nbsp;&nbsp; 5354 |
| &nbsp;&nbsp;&nbsp; University of Southern California Series A, 3.23%, 10/1/2120 | &nbsp;&nbsp;&nbsp;&nbsp; 9370 | &nbsp;&nbsp;&nbsp;&nbsp; 5545 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 24240 |
| **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; 7767 | &nbsp;&nbsp;&nbsp;&nbsp; 7156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2972 | &nbsp;&nbsp;&nbsp;&nbsp; 2662 |
| &nbsp;&nbsp;&nbsp; Simon Property Group LP 3.25%, 9/13/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 12865 | &nbsp;&nbsp;&nbsp;&nbsp; 9017 |
| &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; 4975 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10980 | &nbsp;&nbsp;&nbsp;&nbsp; 9705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 10147 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 43662 |
| **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** |
| &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; 3362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26520 | &nbsp;&nbsp;&nbsp;&nbsp; 23389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 35836 | &nbsp;&nbsp;&nbsp;&nbsp; 28580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16997 | &nbsp;&nbsp;&nbsp;&nbsp; 12212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 9/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 25312 | &nbsp;&nbsp;&nbsp;&nbsp; 17346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 12/1/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 4454 | &nbsp;&nbsp;&nbsp;&nbsp; 3164 |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc. 3.40%, 3/22/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 5542 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 93595 |
| **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; 2783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2680 | &nbsp;&nbsp;&nbsp;&nbsp; 1851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 3/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4030 | &nbsp;&nbsp;&nbsp;&nbsp; 3994 |
| &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; 2100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 3/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 769 | &nbsp;&nbsp;&nbsp;&nbsp; 836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 923 | &nbsp;&nbsp;&nbsp;&nbsp; 800 |
| &nbsp;&nbsp;&nbsp; Appalachian Power Co. Series P, 6.70%, 8/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 3740 | &nbsp;&nbsp;&nbsp;&nbsp; 4220 |
| &nbsp;&nbsp;&nbsp; Arizona Public Service Co. 5.05%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3036 | &nbsp;&nbsp;&nbsp;&nbsp; 2930 |
| &nbsp;&nbsp;&nbsp; Ausgrid Finance Pty. Ltd. (Australia) 4.35%, 8/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1506 |
| &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; 2828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8020 | &nbsp;&nbsp;&nbsp;&nbsp; 5567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7770 | &nbsp;&nbsp;&nbsp;&nbsp; 5080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 17320 | &nbsp;&nbsp;&nbsp;&nbsp; 17595 |
| &nbsp;&nbsp;&nbsp; CenterPoint Energy Houston Electric LLC 3.95%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1066 | &nbsp;&nbsp;&nbsp;&nbsp; 863 |
| &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; 3840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp; 894 |
| &nbsp;&nbsp;&nbsp; Commonwealth Edison Co. 3.65%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3615 | &nbsp;&nbsp;&nbsp;&nbsp; 2821 |
| &nbsp;&nbsp;&nbsp; Consumers 2023 Securitization Funding LLC Series A2, 5.21%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4231 | &nbsp;&nbsp;&nbsp;&nbsp; 4374 |
| &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; 5965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.65%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1146 | &nbsp;&nbsp;&nbsp;&nbsp; 864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 934 | &nbsp;&nbsp;&nbsp;&nbsp; 928 |
| &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; 15404 | &nbsp;&nbsp;&nbsp;&nbsp; 16272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 6.09%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 18650 | &nbsp;&nbsp;&nbsp;&nbsp; 20321 |
| &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; 1097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 1/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9705 | &nbsp;&nbsp;&nbsp;&nbsp; 9638 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 1367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 16415 | &nbsp;&nbsp;&nbsp;&nbsp; 12677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 26040 | &nbsp;&nbsp;&nbsp;&nbsp; 27426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 9/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 18525 | &nbsp;&nbsp;&nbsp;&nbsp; 18487 |
| &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; 8793 |
| &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; 3553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series YYY, 3.25%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6895 | &nbsp;&nbsp;&nbsp;&nbsp; 4815 |
| &nbsp;&nbsp;&nbsp; Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3297 | &nbsp;&nbsp;&nbsp;&nbsp; 2563 |
| &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; 1633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1569 | &nbsp;&nbsp;&nbsp;&nbsp; 1345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 12/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2258 | &nbsp;&nbsp;&nbsp;&nbsp; 1914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1616 | &nbsp;&nbsp;&nbsp;&nbsp; 1257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9495 | &nbsp;&nbsp;&nbsp;&nbsp; 6136 |
| &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; 4326 |
| &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; 7877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 1/7/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6275 | &nbsp;&nbsp;&nbsp;&nbsp; 5605 |
| &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; 2034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6730 | &nbsp;&nbsp;&nbsp;&nbsp; 6652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15800 | &nbsp;&nbsp;&nbsp;&nbsp; 16028 |
| &nbsp;&nbsp;&nbsp; Electricite de France SA (France) 5.95%, 4/22/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19275 | &nbsp;&nbsp;&nbsp;&nbsp; 20644 |
| &nbsp;&nbsp;&nbsp; Emera US Finance LP (Canada) 4.75%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 24295 | &nbsp;&nbsp;&nbsp;&nbsp; 20992 |
| &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; 4438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 6/26/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15935 | &nbsp;&nbsp;&nbsp;&nbsp; 16382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/26/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22930 | &nbsp;&nbsp;&nbsp;&nbsp; 23961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 9/30/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12700 | &nbsp;&nbsp;&nbsp;&nbsp; 12671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 10/7/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 897 | &nbsp;&nbsp;&nbsp;&nbsp; 952 |
| &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; 5133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 6966 |
| &nbsp;&nbsp;&nbsp; Entergy Corp. 2.95%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp; 2447 |
| &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; 4917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1551 | &nbsp;&nbsp;&nbsp;&nbsp; 1530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4606 | &nbsp;&nbsp;&nbsp;&nbsp; 4330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3430 | &nbsp;&nbsp;&nbsp;&nbsp; 3322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 17840 | &nbsp;&nbsp;&nbsp;&nbsp; 18345 |
| &nbsp;&nbsp;&nbsp; Entergy Mississippi LLC 5.85%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 12395 | &nbsp;&nbsp;&nbsp;&nbsp; 12782 |
| &nbsp;&nbsp;&nbsp; Entergy Texas, Inc. 5.80%, 9/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8450 | &nbsp;&nbsp;&nbsp;&nbsp; 8608 |
| &nbsp;&nbsp;&nbsp; Evergy Metro, Inc. 5.40%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6931 | &nbsp;&nbsp;&nbsp;&nbsp; 7291 |
| &nbsp;&nbsp;&nbsp; Evergy Missouri West Storm Funding I LLC Series A-1, 5.10%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 10747 | &nbsp;&nbsp;&nbsp;&nbsp; 11130 |
| &nbsp;&nbsp;&nbsp; Evergy, Inc. 2.90%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7869 | &nbsp;&nbsp;&nbsp;&nbsp; 7505 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 13563 |
| &nbsp;&nbsp;&nbsp; Fells Point Funding Trust 3.05%, 1/31/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 51620 | &nbsp;&nbsp;&nbsp;&nbsp; 50911 |
| &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; 1536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 4/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp; 2454 |
| &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; 8171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 4/1/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 830 | &nbsp;&nbsp;&nbsp;&nbsp; 720 |
| &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; 5662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9410 | &nbsp;&nbsp;&nbsp;&nbsp; 9228 |
| &nbsp;&nbsp;&nbsp; Fortis, Inc. (Canada) 3.06%, 10/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8472 | &nbsp;&nbsp;&nbsp;&nbsp; 8394 |
| &nbsp;&nbsp;&nbsp; Interstate Power and Light Co. 4.95%, 9/30/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8615 | &nbsp;&nbsp;&nbsp;&nbsp; 8645 |
| &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; 6444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 6/1/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 5/9/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18040 | &nbsp;&nbsp;&nbsp;&nbsp; 18907 |
| &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; 5.10%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 8680 | &nbsp;&nbsp;&nbsp;&nbsp; 8817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1740 | &nbsp;&nbsp;&nbsp;&nbsp; 1907 |
| &nbsp;&nbsp;&nbsp; Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4957 | &nbsp;&nbsp;&nbsp;&nbsp; 4027 |
| &nbsp;&nbsp;&nbsp; MidAmerican Energy Co. 5.85%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 10998 |
| &nbsp;&nbsp;&nbsp; Monongahela Power Co. 5.85%, 2/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7920 | &nbsp;&nbsp;&nbsp;&nbsp; 8438 |
| &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; 792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 9/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1287 | &nbsp;&nbsp;&nbsp;&nbsp; 1308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3354 | &nbsp;&nbsp;&nbsp;&nbsp; 3401 |
| &nbsp;&nbsp;&nbsp; New England Power Co. 3.80%, 12/5/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3024 | &nbsp;&nbsp;&nbsp;&nbsp; 2364 |
| &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; 3.55%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2239 | &nbsp;&nbsp;&nbsp;&nbsp; 2223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/28/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11030 | &nbsp;&nbsp;&nbsp;&nbsp; 10390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 45000 | &nbsp;&nbsp;&nbsp;&nbsp; 44078 |
| &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp.  | &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp.  | &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.66%, 1/17/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8540 | &nbsp;&nbsp;&nbsp;&nbsp; 8488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 7/3/2055 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3735 | &nbsp;&nbsp;&nbsp;&nbsp; 3852 |
| &nbsp;&nbsp;&nbsp; Northern States Power Co. 5.10%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 15470 | &nbsp;&nbsp;&nbsp;&nbsp; 14647 |
| &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; 8421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 12/2/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13055 | &nbsp;&nbsp;&nbsp;&nbsp; 12560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.41%, 10/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5289 | &nbsp;&nbsp;&nbsp;&nbsp; 5296 |
| &nbsp;&nbsp;&nbsp; OGE Energy Corp. 5.45%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7110 | &nbsp;&nbsp;&nbsp;&nbsp; 7387 |
| &nbsp;&nbsp;&nbsp; Ohio Edison Co. 6.88%, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp; 901 |
| &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; 1130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 19830 | &nbsp;&nbsp;&nbsp;&nbsp; 18083 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 2.95%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5955 | &nbsp;&nbsp;&nbsp;&nbsp; 5931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7665 | &nbsp;&nbsp;&nbsp;&nbsp; 7552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 28870 | &nbsp;&nbsp;&nbsp;&nbsp; 30177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 33829 | &nbsp;&nbsp;&nbsp;&nbsp; 36712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21651 | &nbsp;&nbsp;&nbsp;&nbsp; 22587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 35355 | &nbsp;&nbsp;&nbsp;&nbsp; 37352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 5700 | &nbsp;&nbsp;&nbsp;&nbsp; 4787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 8/15/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2882 | &nbsp;&nbsp;&nbsp;&nbsp; 2209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 18688 | &nbsp;&nbsp;&nbsp;&nbsp; 15072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 3814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 1/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 7990 | &nbsp;&nbsp;&nbsp;&nbsp; 8672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 10/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 18445 | &nbsp;&nbsp;&nbsp;&nbsp; 18036 |
| &nbsp;&nbsp;&nbsp; Palomino Funding Trust I 7.23%, 5/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5291 |
| &nbsp;&nbsp;&nbsp; PECO Energy Co. 2.80%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6430 | &nbsp;&nbsp;&nbsp;&nbsp; 4135 |
| &nbsp;&nbsp;&nbsp; Pepco Holdings LLC 7.45%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3507 | &nbsp;&nbsp;&nbsp;&nbsp; 4059 |
| &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; 23068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 5.54%, 7/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 8670 | &nbsp;&nbsp;&nbsp;&nbsp; 8823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 5.53%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 26600 | &nbsp;&nbsp;&nbsp;&nbsp; 27187 |
| &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; 10294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-4, 5.21%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9600 | &nbsp;&nbsp;&nbsp;&nbsp; 9409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-5, 4.67%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2170 | &nbsp;&nbsp;&nbsp;&nbsp; 1954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-5, 5.10%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 26355 | &nbsp;&nbsp;&nbsp;&nbsp; 25115 |
| &nbsp;&nbsp;&nbsp; PNM Energy Transition Bond Co. I LLC Series A-1, 5.64%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 25842 | &nbsp;&nbsp;&nbsp;&nbsp; 27306 |
| &nbsp;&nbsp;&nbsp; Potomac Electric Power Co. 6.50%, 11/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1184 | &nbsp;&nbsp;&nbsp;&nbsp; 1346 |
| &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; 6783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 14285 | &nbsp;&nbsp;&nbsp;&nbsp; 13994 |
| &nbsp;&nbsp;&nbsp; Progress Energy, Inc. 7.00%, 10/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp;&nbsp;&nbsp; 2933 |
| &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; 880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 10460 | &nbsp;&nbsp;&nbsp;&nbsp; 9893 |
| &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; 6903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 6205 | &nbsp;&nbsp;&nbsp;&nbsp; 6307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G, 6.63%, 11/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 3901 | &nbsp;&nbsp;&nbsp;&nbsp; 4368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K, 3.15%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 12330 | &nbsp;&nbsp;&nbsp;&nbsp; 8248 |
| &nbsp;&nbsp;&nbsp; Public Service Electric and Gas Co. 5.38%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1021 | &nbsp;&nbsp;&nbsp;&nbsp; 1061 |
| &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; 7423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-1, 4.70%, 6/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 16298 | &nbsp;&nbsp;&nbsp;&nbsp; 16593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 2.51%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7950 | &nbsp;&nbsp;&nbsp;&nbsp; 5520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.34%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 19235 | &nbsp;&nbsp;&nbsp;&nbsp; 19521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 5.11%, 12/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 6495 | &nbsp;&nbsp;&nbsp;&nbsp; 6350 |
| &nbsp;&nbsp;&nbsp; Sierra Pacific Power Co. 5.90%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 20270 | &nbsp;&nbsp;&nbsp;&nbsp; 20497 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 14226 | &nbsp;&nbsp;&nbsp;&nbsp; 14726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A2, 5.17%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6960 | &nbsp;&nbsp;&nbsp;&nbsp; 7019 |
| &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; 4242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp; 945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 14150 | &nbsp;&nbsp;&nbsp;&nbsp; 14269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 3/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2197 | &nbsp;&nbsp;&nbsp;&nbsp; 2290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 12/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3408 | &nbsp;&nbsp;&nbsp;&nbsp; 2675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.13%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp;&nbsp;&nbsp; 1399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 2.95%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 1871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5545 | &nbsp;&nbsp;&nbsp;&nbsp; 5252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 12/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 25400 | &nbsp;&nbsp;&nbsp;&nbsp; 24817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 4/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 12973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 3/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 12515 | &nbsp;&nbsp;&nbsp;&nbsp; 12326 |
| &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; 5.20%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2370 | &nbsp;&nbsp;&nbsp;&nbsp; 2448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 28704 | &nbsp;&nbsp;&nbsp;&nbsp; 30317 |
| &nbsp;&nbsp;&nbsp; Southwestern Public Service Co. 4.50%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp; 2443 |
| &nbsp;&nbsp;&nbsp; Toledo Edison Co. (The) 6.15%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5800 | &nbsp;&nbsp;&nbsp;&nbsp; 6389 |
| &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; 14033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 4/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6367 | &nbsp;&nbsp;&nbsp;&nbsp; 4985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 3/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11765 | &nbsp;&nbsp;&nbsp;&nbsp; 11537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 8335 | &nbsp;&nbsp;&nbsp;&nbsp; 7839 |
| &nbsp;&nbsp;&nbsp; Virginia Electric and Power Co. Series A, 6.00%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp; 2276 |
| &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; 8368 |
| &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; 3326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 4/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4203 | &nbsp;&nbsp;&nbsp;&nbsp; 4436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 12/30/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13240 | &nbsp;&nbsp;&nbsp;&nbsp; 13678 |
| &nbsp;&nbsp;&nbsp; Xcel Energy, Inc. 4.80%, 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 829 | &nbsp;&nbsp;&nbsp;&nbsp; 765 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1466402 |
| **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** |
| &nbsp;&nbsp;&nbsp; Amphenol Corp. 5.30%, 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 28740 | &nbsp;&nbsp;&nbsp;&nbsp; 27997 |
| &nbsp;&nbsp;&nbsp; Corning, Inc. 5.35%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6270 | &nbsp;&nbsp;&nbsp;&nbsp; 6171 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 34168 |
| **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; 3564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 8/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2375 | &nbsp;&nbsp;&nbsp;&nbsp; 2124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.60%, 8/15/2096 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp;&nbsp;&nbsp; 2709 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 8397 |
| **Financial Services — 1.1%** | **Financial Services — 1.1%** | **Financial Services — 1.1%** |
| &nbsp;&nbsp;&nbsp; BAML RCAP (United Kingdom) 8.00%, 10/26/2029 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 15825 | &nbsp;&nbsp;&nbsp;&nbsp; 15826 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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** |
| **Financial Services — continued** | **Financial Services — continued** | **Financial Services — continued** |
| &nbsp;&nbsp;&nbsp; BG Beta I Ltd. (Cayman Islands) 0.00%, 7/16/2054 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; 54725 | &nbsp;&nbsp;&nbsp;&nbsp; 54725 |
| &nbsp;&nbsp;&nbsp; CFIN 2022-RTL1 Issuer LLC Class A, 0.00%, 8/17/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 103218 | &nbsp;&nbsp;&nbsp;&nbsp; 103218 |
| &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; 6423 |
| &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; 13192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/5/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9710 | &nbsp;&nbsp;&nbsp;&nbsp; 9562 |
| &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; 5997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 8/11/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 18135 | &nbsp;&nbsp;&nbsp;&nbsp; 18195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5835 | &nbsp;&nbsp;&nbsp;&nbsp; 4649 |
| &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; 6412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9690 | &nbsp;&nbsp;&nbsp;&nbsp; 8674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 41950 | &nbsp;&nbsp;&nbsp;&nbsp; 42093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 20900 | &nbsp;&nbsp;&nbsp;&nbsp; 20883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3625 | &nbsp;&nbsp;&nbsp;&nbsp; 3483 |
| &nbsp;&nbsp;&nbsp; Goodleap LLC Class A, 0.00%, 7/15/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 67475 | &nbsp;&nbsp;&nbsp;&nbsp; 69937 |
| &nbsp;&nbsp;&nbsp; LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 30170 | &nbsp;&nbsp;&nbsp;&nbsp; 28813 |
| &nbsp;&nbsp;&nbsp; National Rural Utilities Cooperative Finance Corp. 5.00%, 2/7/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11940 | &nbsp;&nbsp;&nbsp;&nbsp; 12346 |
| &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; (3-MONTH SOFR + 1.86%), 3.96%, 7/18/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26080 | &nbsp;&nbsp;&nbsp;&nbsp; 25773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.54%, 7/14/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 22695 | &nbsp;&nbsp;&nbsp;&nbsp; 23551 |
| &nbsp;&nbsp;&nbsp; NTT Finance Corp. (Japan) | &nbsp;&nbsp;&nbsp; NTT Finance Corp. (Japan) | &nbsp;&nbsp;&nbsp; NTT Finance Corp. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.17%, 7/16/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 38670 | &nbsp;&nbsp;&nbsp;&nbsp; 39877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 7/16/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15975 | &nbsp;&nbsp;&nbsp;&nbsp; 16693 |
| &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; 3056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 9/15/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3050 | &nbsp;&nbsp;&nbsp;&nbsp; 2297 |
| &nbsp;&nbsp;&nbsp; Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 53946 | &nbsp;&nbsp;&nbsp;&nbsp; 53946 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 589621 |
| **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; 3560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 1/9/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5080 | &nbsp;&nbsp;&nbsp;&nbsp; 5185 |
| &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; 2.75%, 5/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 22130 | &nbsp;&nbsp;&nbsp;&nbsp; 20412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 8/4/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 24200 | &nbsp;&nbsp;&nbsp;&nbsp; 24788 |
| &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; 14253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 24808 | &nbsp;&nbsp;&nbsp;&nbsp; 27534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29725 | &nbsp;&nbsp;&nbsp;&nbsp; 30427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 12/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1710 | &nbsp;&nbsp;&nbsp;&nbsp; 1787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 4/15/2066 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 32455 | &nbsp;&nbsp;&nbsp;&nbsp; 33025 |
| &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; 9492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 2/25/2055 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16735 | &nbsp;&nbsp;&nbsp;&nbsp; 17307 |
| &nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co. 4.38%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8568 | &nbsp;&nbsp;&nbsp;&nbsp; 7197 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; Mars, Inc. 5.00%, 3/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28555 | &nbsp;&nbsp;&nbsp;&nbsp; 29511 |
| &nbsp;&nbsp;&nbsp; Mead Johnson Nutrition Co. (United Kingdom) 4.60%, 6/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 955 | &nbsp;&nbsp;&nbsp;&nbsp; 864 |
| &nbsp;&nbsp;&nbsp; Tyson Foods, Inc. 5.70%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10200 | &nbsp;&nbsp;&nbsp;&nbsp; 10790 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 236132 |
| **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; 6225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1750 | &nbsp;&nbsp;&nbsp;&nbsp; 1502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 4908 |
| &nbsp;&nbsp;&nbsp; Boston Gas Co. 4.49%, 2/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2201 | &nbsp;&nbsp;&nbsp;&nbsp; 1919 |
| &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; 5550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.27%, 3/15/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6500 | &nbsp;&nbsp;&nbsp;&nbsp; 5319 |
| &nbsp;&nbsp;&nbsp; KeySpan Gas East Corp. 2.74%, 8/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4242 | &nbsp;&nbsp;&nbsp;&nbsp; 4195 |
| &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; 1668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 5/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7979 | &nbsp;&nbsp;&nbsp;&nbsp; 7243 |
| &nbsp;&nbsp;&nbsp; Southern California Gas Co. Series XX, 2.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7148 | &nbsp;&nbsp;&nbsp;&nbsp; 6729 |
| &nbsp;&nbsp;&nbsp; Southwest Gas Corp. 3.80%, 9/29/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3595 | &nbsp;&nbsp;&nbsp;&nbsp; 2790 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 48048 |
| **Ground Transportation — 0.1%** | **Ground Transportation — 0.1%** | **Ground Transportation — 0.1%** |
| &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; 4.40%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2010 | &nbsp;&nbsp;&nbsp;&nbsp; 1825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4018 | &nbsp;&nbsp;&nbsp;&nbsp; 3627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 3150 | &nbsp;&nbsp;&nbsp;&nbsp; 2887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5584 | &nbsp;&nbsp;&nbsp;&nbsp; 4177 |
| &nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co. (Canada) 4.70%, 5/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2252 |
| &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; 3610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1515 | &nbsp;&nbsp;&nbsp;&nbsp; 1288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8165 | &nbsp;&nbsp;&nbsp;&nbsp; 7418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2710 | &nbsp;&nbsp;&nbsp;&nbsp; 1949 |
| &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; 5.20%, 10/30/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7330 | &nbsp;&nbsp;&nbsp;&nbsp; 7590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 10/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp; 497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 3/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3104 | &nbsp;&nbsp;&nbsp;&nbsp; 3197 |
| &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; 2443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5192 | &nbsp;&nbsp;&nbsp;&nbsp; 4134 |
| &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; 5331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 7/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/1/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 3095 |
| &nbsp;&nbsp;&nbsp; Uber Technologies, Inc. 4.80%, 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 13210 | &nbsp;&nbsp;&nbsp;&nbsp; 13284 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 4561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 9/15/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 1962 | &nbsp;&nbsp;&nbsp;&nbsp; 1502 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 77244 |
| **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; 1601 |
| &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; 6.25%, 11/15/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 15774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 3/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 5011 | &nbsp;&nbsp;&nbsp;&nbsp; 4833 |
| &nbsp;&nbsp;&nbsp; DH Europe Finance II SARL 3.25%, 11/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 | &nbsp;&nbsp;&nbsp;&nbsp; 5867 |
| &nbsp;&nbsp;&nbsp; Solventum Corp. 5.60%, 3/23/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 26344 | &nbsp;&nbsp;&nbsp;&nbsp; 27530 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 55605 |
| **Health Care Providers & Services — 1.3%** | **Health Care Providers & Services — 1.3%** | **Health Care Providers & Services — 1.3%** |
| &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; 3303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1777 | &nbsp;&nbsp;&nbsp;&nbsp; 1542 |
| &nbsp;&nbsp;&nbsp; AHS Hospital Corp. 5.02%, 7/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 14094 | &nbsp;&nbsp;&nbsp;&nbsp; 13512 |
| &nbsp;&nbsp;&nbsp; Banner Health 1.90%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 13950 | &nbsp;&nbsp;&nbsp;&nbsp; 12555 |
| &nbsp;&nbsp;&nbsp; BayCare Health System, Inc. Series 2020, 3.83%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9475 | &nbsp;&nbsp;&nbsp;&nbsp; 7436 |
| &nbsp;&nbsp;&nbsp; Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4180 | &nbsp;&nbsp;&nbsp;&nbsp; 2742 |
| &nbsp;&nbsp;&nbsp; Cardinal Health, Inc. 5.45%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7851 |
| &nbsp;&nbsp;&nbsp; Cencora, Inc. 5.13%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 30700 | &nbsp;&nbsp;&nbsp;&nbsp; 31723 |
| &nbsp;&nbsp;&nbsp; Children's Hospital Series 2020, 2.93%, 7/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13680 | &nbsp;&nbsp;&nbsp;&nbsp; 8955 |
| &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; 21604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 47245 | &nbsp;&nbsp;&nbsp;&nbsp; 48444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1904 | &nbsp;&nbsp;&nbsp;&nbsp; 1715 |
| &nbsp;&nbsp;&nbsp; CommonSpirit Health  | &nbsp;&nbsp;&nbsp; CommonSpirit Health  | &nbsp;&nbsp;&nbsp; CommonSpirit Health  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6205 | &nbsp;&nbsp;&nbsp;&nbsp; 5796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.19%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5540 | &nbsp;&nbsp;&nbsp;&nbsp; 4442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.91%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6600 | &nbsp;&nbsp;&nbsp;&nbsp; 4985 |
| &nbsp;&nbsp;&nbsp; Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10450 | &nbsp;&nbsp;&nbsp;&nbsp; 7470 |
| &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; 2128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 2/21/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8553 | &nbsp;&nbsp;&nbsp;&nbsp; 8806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/21/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 22000 | &nbsp;&nbsp;&nbsp;&nbsp; 22767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 7/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3466 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust Series 2013, 4.70%, 1/10/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6995 | &nbsp;&nbsp;&nbsp;&nbsp; 6708 |
| &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; 5487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3477 | &nbsp;&nbsp;&nbsp;&nbsp; 3150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3394 | &nbsp;&nbsp;&nbsp;&nbsp; 3072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 4149 | &nbsp;&nbsp;&nbsp;&nbsp; 3691 |
| &nbsp;&nbsp;&nbsp; Hackensack Meridian Health, Inc. Series 2020, 2.88%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 11100 | &nbsp;&nbsp;&nbsp;&nbsp; 7240 |
| &nbsp;&nbsp;&nbsp; Hartford HealthCare Corp. 3.45%, 7/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 23430 | &nbsp;&nbsp;&nbsp;&nbsp; 17137 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 10081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 28350 | &nbsp;&nbsp;&nbsp;&nbsp; 29722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 23003 | &nbsp;&nbsp;&nbsp;&nbsp; 24290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10120 | &nbsp;&nbsp;&nbsp;&nbsp; 10081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 4805 | &nbsp;&nbsp;&nbsp;&nbsp; 4705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 17500 | &nbsp;&nbsp;&nbsp;&nbsp; 16854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 7/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6831 | &nbsp;&nbsp;&nbsp;&nbsp; 4751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 27825 | &nbsp;&nbsp;&nbsp;&nbsp; 23254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 12475 | &nbsp;&nbsp;&nbsp;&nbsp; 12559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 4/1/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 17625 | &nbsp;&nbsp;&nbsp;&nbsp; 17925 |
| &nbsp;&nbsp;&nbsp; Mayo Clinic Series 2016, 4.13%, 11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2975 | &nbsp;&nbsp;&nbsp;&nbsp; 2446 |
| &nbsp;&nbsp;&nbsp; MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7365 | &nbsp;&nbsp;&nbsp;&nbsp; 5524 |
| &nbsp;&nbsp;&nbsp; Memorial Health Services 3.45%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 25595 | &nbsp;&nbsp;&nbsp;&nbsp; 18536 |
| &nbsp;&nbsp;&nbsp; Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3335 | &nbsp;&nbsp;&nbsp;&nbsp; 2784 |
| &nbsp;&nbsp;&nbsp; MyMichigan Health Series 2020, 3.41%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5410 | &nbsp;&nbsp;&nbsp;&nbsp; 3855 |
| &nbsp;&nbsp;&nbsp; Nationwide Children's Hospital, Inc. 4.56%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4136 | &nbsp;&nbsp;&nbsp;&nbsp; 3640 |
| &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; 5569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 3.38%, 7/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 9170 | &nbsp;&nbsp;&nbsp;&nbsp; 6414 |
| &nbsp;&nbsp;&nbsp; Queen's Health Systems (The) 4.81%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18840 | &nbsp;&nbsp;&nbsp;&nbsp; 16982 |
| &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; 1678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 11/30/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11460 | &nbsp;&nbsp;&nbsp;&nbsp; 12777 |
| &nbsp;&nbsp;&nbsp; Sutter Health 5.55%, 8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5084 |
| &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; 3924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 4275 | &nbsp;&nbsp;&nbsp;&nbsp; 3658 |
| &nbsp;&nbsp;&nbsp; Triad Holdings III LLC 0.00%, 4/1/2052 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 108745 | &nbsp;&nbsp;&nbsp;&nbsp; 108745 |
| &nbsp;&nbsp;&nbsp; Trinity Health Corp. Series 2019, 3.43%, 12/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 20450 | &nbsp;&nbsp;&nbsp;&nbsp; 15779 |
| &nbsp;&nbsp;&nbsp; UMass Memorial Health Care Obligated Group 5.36%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6070 | &nbsp;&nbsp;&nbsp;&nbsp; 5783 |
| &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; 6933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 4800 | &nbsp;&nbsp;&nbsp;&nbsp; 3643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9695 | &nbsp;&nbsp;&nbsp;&nbsp; 6691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9740 | &nbsp;&nbsp;&nbsp;&nbsp; 10044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 4/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 19000 | &nbsp;&nbsp;&nbsp;&nbsp; 17526 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 689964 |
| **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; 2195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9430 | &nbsp;&nbsp;&nbsp;&nbsp; 7062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 4/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2800 | &nbsp;&nbsp;&nbsp;&nbsp; 2475 |
| &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; 4505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp; 2088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6195 | &nbsp;&nbsp;&nbsp;&nbsp; 5581 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 — continued** | **Health Care REITs — continued** | **Health Care REITs — continued** |
| &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; 769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7254 | &nbsp;&nbsp;&nbsp;&nbsp; 7204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4308 | &nbsp;&nbsp;&nbsp;&nbsp; 4295 |
| &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; 516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4735 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 41425 |
| **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; 6564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 3/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3210 | &nbsp;&nbsp;&nbsp;&nbsp; 2789 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9353 |
| **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; 30376 |
| &nbsp;&nbsp;&nbsp; Alexander Funding Trust II 7.47%, 7/31/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25600 | &nbsp;&nbsp;&nbsp;&nbsp; 27326 |
| &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; 5.80%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4555 | &nbsp;&nbsp;&nbsp;&nbsp; 4883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 18303 | &nbsp;&nbsp;&nbsp;&nbsp; 20054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 15265 | &nbsp;&nbsp;&nbsp;&nbsp; 15711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3470 | &nbsp;&nbsp;&nbsp;&nbsp; 3831 |
| &nbsp;&nbsp;&nbsp; Southern Power Co. 5.15%, 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7079 | &nbsp;&nbsp;&nbsp;&nbsp; 6886 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 109067 |
| **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; 22663 |
| **Industrial REITs — 0.0% ^** | **Industrial REITs — 0.0% ^** | **Industrial REITs — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Goodman US Finance Six LLC (Australia) 5.13%, 10/7/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11095 | &nbsp;&nbsp;&nbsp;&nbsp; 11299 |
| &nbsp;&nbsp;&nbsp; Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5157 | &nbsp;&nbsp;&nbsp;&nbsp; 5105 |
| &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; 3553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5080 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 25037 |
| **Insurance — 0.6%** | **Insurance — 0.6%** | **Insurance — 0.6%** |
| &nbsp;&nbsp;&nbsp; AIA Group Ltd. (Hong Kong) 3.20%, 9/16/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7535 | &nbsp;&nbsp;&nbsp;&nbsp; 6018 |
| &nbsp;&nbsp;&nbsp; AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8295 | &nbsp;&nbsp;&nbsp;&nbsp; 9260 |
| &nbsp;&nbsp;&nbsp; Alleghany Corp. 3.63%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8945 | &nbsp;&nbsp;&nbsp;&nbsp; 8760 |
| &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; 35913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9050 | &nbsp;&nbsp;&nbsp;&nbsp; 9174 |
| &nbsp;&nbsp;&nbsp; Arthur J Gallagher & Co. 5.75%, 7/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9570 | &nbsp;&nbsp;&nbsp;&nbsp; 9538 |
| &nbsp;&nbsp;&nbsp; Athene Global Funding 2.95%, 11/12/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 42215 | &nbsp;&nbsp;&nbsp;&nbsp; 41733 |
| &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; 12406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2795 | &nbsp;&nbsp;&nbsp;&nbsp; 2525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 24230 | &nbsp;&nbsp;&nbsp;&nbsp; 19100 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; CNO Global Funding 1.75%, 10/7/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11240 | &nbsp;&nbsp;&nbsp;&nbsp; 11022 |
| &nbsp;&nbsp;&nbsp; Corebridge Global Funding 4.90%, 8/21/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4955 | &nbsp;&nbsp;&nbsp;&nbsp; 5004 |
| &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; 11482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 6/4/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9165 | &nbsp;&nbsp;&nbsp;&nbsp; 9552 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding 1.75%, 6/30/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12780 | &nbsp;&nbsp;&nbsp;&nbsp; 12591 |
| &nbsp;&nbsp;&nbsp; Five Corners Funding Trust II 2.85%, 5/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14140 |
| &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; 4404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 1/24/2077 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1663 | &nbsp;&nbsp;&nbsp;&nbsp; 1400 |
| &nbsp;&nbsp;&nbsp; Hartford Insurance Group, Inc. (The) 4.30%, 4/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7410 | &nbsp;&nbsp;&nbsp;&nbsp; 6484 |
| &nbsp;&nbsp;&nbsp; MetLife, Inc. 4.13%, 8/13/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1747 |
| &nbsp;&nbsp;&nbsp; Mutual of Omaha Cos. Global Funding 5.80%, 7/27/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18500 | &nbsp;&nbsp;&nbsp;&nbsp; 18713 |
| &nbsp;&nbsp;&nbsp; Nationwide Mutual Insurance Co. 8.25%, 12/1/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7900 | &nbsp;&nbsp;&nbsp;&nbsp; 9282 |
| &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; 7244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 5/15/2069 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp; 8925 |
| &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; 3064 |
| &nbsp;&nbsp;&nbsp; Pine Street Trust III 6.22%, 5/15/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21750 | &nbsp;&nbsp;&nbsp;&nbsp; 22307 |
| &nbsp;&nbsp;&nbsp; Prudential Financial, Inc. 3.91%, 12/7/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9236 | &nbsp;&nbsp;&nbsp;&nbsp; 7384 |
| &nbsp;&nbsp;&nbsp; Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 16987 | &nbsp;&nbsp;&nbsp;&nbsp; 16309 |
| &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; 2621 |
| &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; 3369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.27%, 5/15/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5480 | &nbsp;&nbsp;&nbsp;&nbsp; 4585 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 336056 |
| **Interactive Media & Services — 0.3%** | **Interactive Media & Services — 0.3%** | **Interactive Media & Services — 0.3%** |
| &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; 4.88%, 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 42180 | &nbsp;&nbsp;&nbsp;&nbsp; 42637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 11/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 41850 | &nbsp;&nbsp;&nbsp;&nbsp; 41863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 29884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 8/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 11965 | &nbsp;&nbsp;&nbsp;&nbsp; 11605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 16665 | &nbsp;&nbsp;&nbsp;&nbsp; 16623 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 142612 |
| **IT Services — 0.1%** | **IT Services — 0.1%** | **IT Services — 0.1%** |
| &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; 21111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/4/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 14250 | &nbsp;&nbsp;&nbsp;&nbsp; 14146 |
| &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; 13819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 9/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 8881 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 57957 |
| **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; 5039 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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** |
| **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; 6792 |
| &nbsp;&nbsp;&nbsp; Parker-Hannifin Corp. 4.45%, 11/21/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3759 | &nbsp;&nbsp;&nbsp;&nbsp; 3358 |
| &nbsp;&nbsp;&nbsp; Xylem, Inc. 2.25%, 1/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7315 | &nbsp;&nbsp;&nbsp;&nbsp; 6659 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 16809 |
| **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; 4519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 8850 | &nbsp;&nbsp;&nbsp;&nbsp; 8870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 4923 | &nbsp;&nbsp;&nbsp;&nbsp; 4567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 12020 | &nbsp;&nbsp;&nbsp;&nbsp; 8576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 7800 | &nbsp;&nbsp;&nbsp;&nbsp; 5474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 5/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9380 | &nbsp;&nbsp;&nbsp;&nbsp; 7868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13160 | &nbsp;&nbsp;&nbsp;&nbsp; 10112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 4/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 27270 | &nbsp;&nbsp;&nbsp;&nbsp; 17549 |
| &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; 16236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3950 | &nbsp;&nbsp;&nbsp;&nbsp; 4080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3361 | &nbsp;&nbsp;&nbsp;&nbsp; 3225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.17%, 1/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 37553 | &nbsp;&nbsp;&nbsp;&nbsp; 37503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 19265 | &nbsp;&nbsp;&nbsp;&nbsp; 15303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 4/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 8535 | &nbsp;&nbsp;&nbsp;&nbsp; 7134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5553 | &nbsp;&nbsp;&nbsp;&nbsp; 4197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp; 5835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 1/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 24803 | &nbsp;&nbsp;&nbsp;&nbsp; 14815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.89%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14886 | &nbsp;&nbsp;&nbsp;&nbsp; 9007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp; 1010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4960 | &nbsp;&nbsp;&nbsp;&nbsp; 4572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 11/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 15473 | &nbsp;&nbsp;&nbsp;&nbsp; 8981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 11/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 962 | &nbsp;&nbsp;&nbsp;&nbsp; 537 |
| &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; 3026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 10/1/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8375 | &nbsp;&nbsp;&nbsp;&nbsp; 4742 |
| &nbsp;&nbsp;&nbsp; Grupo Televisa SAB (Mexico) 6.13%, 1/31/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 767 | &nbsp;&nbsp;&nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp; TCI Communications, Inc. 7.13%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1199 | &nbsp;&nbsp;&nbsp;&nbsp; 1279 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3041 | &nbsp;&nbsp;&nbsp;&nbsp; 3523 |
| &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; 2379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.30%, 7/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2197 | &nbsp;&nbsp;&nbsp;&nbsp; 2339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1794 | &nbsp;&nbsp;&nbsp;&nbsp; 1827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 7325 | &nbsp;&nbsp;&nbsp;&nbsp; 6805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6940 | &nbsp;&nbsp;&nbsp;&nbsp; 6151 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 232658 |
| **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** |
| &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; 18723 |
| &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; 14781 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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** |
| **Metals & Mining — continued** | **Metals & Mining — continued** | **Metals & Mining — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 4/4/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23352 | &nbsp;&nbsp;&nbsp;&nbsp; 24501 |
| &nbsp;&nbsp;&nbsp; Newmont Corp. 3.25%, 5/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4606 | &nbsp;&nbsp;&nbsp;&nbsp; 4440 |
| &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; 5040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3519 | &nbsp;&nbsp;&nbsp;&nbsp; 2448 |
| &nbsp;&nbsp;&nbsp; Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 27542 | &nbsp;&nbsp;&nbsp;&nbsp; 26534 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 96467 |
| **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** |
| &nbsp;&nbsp;&nbsp; Resurgent 6.78%, 7/1/2030 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 |
| **Multi-Utilities — 0.4%** | **Multi-Utilities — 0.4%** | **Multi-Utilities — 0.4%** |
| &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; 3439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2426 | &nbsp;&nbsp;&nbsp;&nbsp; 2390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1237 |
| &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; 2886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017, 3.88%, 6/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3355 | &nbsp;&nbsp;&nbsp;&nbsp; 2665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 1724 | &nbsp;&nbsp;&nbsp;&nbsp; 1440 |
| &nbsp;&nbsp;&nbsp; Consumers Energy Co. 3.25%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2150 | &nbsp;&nbsp;&nbsp;&nbsp; 1595 |
| &nbsp;&nbsp;&nbsp; Delmarva Power & Light Co. 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1478 | &nbsp;&nbsp;&nbsp;&nbsp; 1248 |
| &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; 1910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series F, 5.25%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5067 | &nbsp;&nbsp;&nbsp;&nbsp; 5228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp;&nbsp;&nbsp; 1241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.90%, 8/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp; 1719 |
| &nbsp;&nbsp;&nbsp; Engie SA (France) 5.63%, 4/10/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13225 | &nbsp;&nbsp;&nbsp;&nbsp; 13937 |
| &nbsp;&nbsp;&nbsp; National Grid plc (United Kingdom) 5.42%, 1/11/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21700 | &nbsp;&nbsp;&nbsp;&nbsp; 22658 |
| &nbsp;&nbsp;&nbsp; New York State Electric & Gas Corp. 3.25%, 12/1/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2326 | &nbsp;&nbsp;&nbsp;&nbsp; 2303 |
| &nbsp;&nbsp;&nbsp; NiSource, Inc. 5.80%, 2/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6726 | &nbsp;&nbsp;&nbsp;&nbsp; 6941 |
| &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; 8270 |
| &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; 13760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7700 | &nbsp;&nbsp;&nbsp;&nbsp; 8032 |
| &nbsp;&nbsp;&nbsp; Puget Energy, Inc.  | &nbsp;&nbsp;&nbsp; Puget Energy, Inc.  | &nbsp;&nbsp;&nbsp; Puget Energy, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6522 | &nbsp;&nbsp;&nbsp;&nbsp; 6231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.73%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 11300 | &nbsp;&nbsp;&nbsp;&nbsp; 11657 |
| &nbsp;&nbsp;&nbsp; Puget Sound Energy, Inc. 5.45%, 6/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 10070 | &nbsp;&nbsp;&nbsp;&nbsp; 9831 |
| &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; 1060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2690 | &nbsp;&nbsp;&nbsp;&nbsp; 2247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 17150 | &nbsp;&nbsp;&nbsp;&nbsp; 11129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2885 |
| &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; 1683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 9/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12830 | &nbsp;&nbsp;&nbsp;&nbsp; 13669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B, 5.10%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7590 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 5.88%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 10518 | &nbsp;&nbsp;&nbsp;&nbsp; 11000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1392 | &nbsp;&nbsp;&nbsp;&nbsp; 1215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2136 | &nbsp;&nbsp;&nbsp;&nbsp; 1703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 5/30/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2274 | &nbsp;&nbsp;&nbsp;&nbsp; 1927 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 186726 |
| **Office REITs — 0.0% ^** | **Office REITs — 0.0% ^** | **Office REITs — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; COPT Defense Properties LP  | &nbsp;&nbsp;&nbsp; COPT Defense Properties LP  | &nbsp;&nbsp;&nbsp; COPT Defense Properties LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3440 | &nbsp;&nbsp;&nbsp;&nbsp; 3206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6270 | &nbsp;&nbsp;&nbsp;&nbsp; 6245 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9451 |
| **Oil, Gas & Consumable Fuels — 1.3%** | **Oil, Gas & Consumable Fuels — 1.3%** | **Oil, Gas & Consumable Fuels — 1.3%** |
| &nbsp;&nbsp;&nbsp; Aker BP ASA (Norway) 5.80%, 10/1/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6320 | &nbsp;&nbsp;&nbsp;&nbsp; 5851 |
| &nbsp;&nbsp;&nbsp; BG Energy Capital plc 5.13%, 10/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5781 | &nbsp;&nbsp;&nbsp;&nbsp; 5640 |
| &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; 9372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 6/4/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 25080 | &nbsp;&nbsp;&nbsp;&nbsp; 16360 |
| &nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP 5.55%, 10/30/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12420 | &nbsp;&nbsp;&nbsp;&nbsp; 12778 |
| &nbsp;&nbsp;&nbsp; Cheniere Energy, Inc. 5.65%, 4/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 13830 | &nbsp;&nbsp;&nbsp;&nbsp; 14424 |
| &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; 4071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.68%, 1/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16276 | &nbsp;&nbsp;&nbsp;&nbsp; 16907 |
| &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; 12390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.04%, 11/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp; 12081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.44%, 2/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 36855 | &nbsp;&nbsp;&nbsp;&nbsp; 37885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.96%, 2/15/2055 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25130 | &nbsp;&nbsp;&nbsp;&nbsp; 25039 |
| &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; 12576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 10025 | &nbsp;&nbsp;&nbsp;&nbsp; 9800 |
| &nbsp;&nbsp;&nbsp; Devon Energy Corp. 5.75%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 8163 | &nbsp;&nbsp;&nbsp;&nbsp; 7599 |
| &nbsp;&nbsp;&nbsp; DT Midstream, Inc. 4.30%, 4/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17380 | &nbsp;&nbsp;&nbsp;&nbsp; 16784 |
| &nbsp;&nbsp;&nbsp; Eastern Energy Gas Holdings LLC 6.20%, 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 10430 | &nbsp;&nbsp;&nbsp;&nbsp; 10970 |
| &nbsp;&nbsp;&nbsp; Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4476 | &nbsp;&nbsp;&nbsp;&nbsp; 3298 |
| &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; 18090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 4/5/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 19445 | &nbsp;&nbsp;&nbsp;&nbsp; 20421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 11/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5550 | &nbsp;&nbsp;&nbsp;&nbsp; 6196 |
| &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; 9732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 7/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2695 | &nbsp;&nbsp;&nbsp;&nbsp; 3149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4266 | &nbsp;&nbsp;&nbsp;&nbsp; 4345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 7220 | &nbsp;&nbsp;&nbsp;&nbsp; 7310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 10/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3950 | &nbsp;&nbsp;&nbsp;&nbsp; 3904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 4/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp; 1683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 5/15/2044 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp; 7578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 6/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6419 | &nbsp;&nbsp;&nbsp;&nbsp; 6302 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 6.25%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5655 | &nbsp;&nbsp;&nbsp;&nbsp; 5684 |
| &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; 4845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 5/15/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14030 | &nbsp;&nbsp;&nbsp;&nbsp; 14101 |
| &nbsp;&nbsp;&nbsp; Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4040 | &nbsp;&nbsp;&nbsp;&nbsp; 4270 |
| &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; 2688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.55%, 4/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp; 554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 2/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1259 | &nbsp;&nbsp;&nbsp;&nbsp; 1339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp; 407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1758 | &nbsp;&nbsp;&nbsp;&nbsp; 1683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1189 | &nbsp;&nbsp;&nbsp;&nbsp; 1078 |
| &nbsp;&nbsp;&nbsp; EQT Corp. 3.90%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3371 | &nbsp;&nbsp;&nbsp;&nbsp; 3351 |
| &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; 11545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.11%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2726 | &nbsp;&nbsp;&nbsp;&nbsp; 2325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 8/16/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17965 | &nbsp;&nbsp;&nbsp;&nbsp; 12572 |
| &nbsp;&nbsp;&nbsp; Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14425 | &nbsp;&nbsp;&nbsp;&nbsp; 12293 |
| &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC 3.45%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12470 | &nbsp;&nbsp;&nbsp;&nbsp; 12312 |
| &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; 21166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 2/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5481 |
| &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; 13240 | &nbsp;&nbsp;&nbsp;&nbsp; 13590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 28080 | &nbsp;&nbsp;&nbsp;&nbsp; 28478 |
| &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; 8507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 7/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8283 | &nbsp;&nbsp;&nbsp;&nbsp; 7612 |
| &nbsp;&nbsp;&nbsp; Northern Natural Gas Co. 5.63%, 2/1/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4550 | &nbsp;&nbsp;&nbsp;&nbsp; 4474 |
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp. 4.30%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 6860 | &nbsp;&nbsp;&nbsp;&nbsp; 5836 |
| &nbsp;&nbsp;&nbsp; ONEOK Partners LP 6.65%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1825 | &nbsp;&nbsp;&nbsp;&nbsp; 2001 |
| &nbsp;&nbsp;&nbsp; ONEOK, Inc.  | &nbsp;&nbsp;&nbsp; ONEOK, Inc.  | &nbsp;&nbsp;&nbsp; ONEOK, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12960 | &nbsp;&nbsp;&nbsp;&nbsp; 13020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 16771 | &nbsp;&nbsp;&nbsp;&nbsp; 16888 |
| &nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co. 1.90%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 18050 | &nbsp;&nbsp;&nbsp;&nbsp; 16335 |
| &nbsp;&nbsp;&nbsp; Plains All American Pipeline LP 5.95%, 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 26070 | &nbsp;&nbsp;&nbsp;&nbsp; 27343 |
| &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 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.03%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8260 | &nbsp;&nbsp;&nbsp;&nbsp; 8385 |
| &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; 12308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1997 | &nbsp;&nbsp;&nbsp;&nbsp; 2221 |
| &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; 12227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 7/12/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 12800 | &nbsp;&nbsp;&nbsp;&nbsp; 9309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/29/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 20230 | &nbsp;&nbsp;&nbsp;&nbsp; 13857 |
| &nbsp;&nbsp;&nbsp; Western Midstream Operating LP 5.25%, 2/1/2050 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7040 | &nbsp;&nbsp;&nbsp;&nbsp; 6125 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 8845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13720 | &nbsp;&nbsp;&nbsp;&nbsp; 14506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 18110 | &nbsp;&nbsp;&nbsp;&nbsp; 18936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 5070 | &nbsp;&nbsp;&nbsp;&nbsp; 5240 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 703325 |
| **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, 3.10%, 10/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15337 | &nbsp;&nbsp;&nbsp;&nbsp; 14644 |
| **Pharmaceuticals — 0.3%** | **Pharmaceuticals — 0.3%** | **Pharmaceuticals — 0.3%** |
| &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; 4904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/18/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4270 | &nbsp;&nbsp;&nbsp;&nbsp; 3737 |
| &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; 6540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5046 | &nbsp;&nbsp;&nbsp;&nbsp; 4454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/26/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 21446 | &nbsp;&nbsp;&nbsp;&nbsp; 17949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16992 | &nbsp;&nbsp;&nbsp;&nbsp; 12840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 2/22/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 2669 | &nbsp;&nbsp;&nbsp;&nbsp; 2696 |
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co.  | &nbsp;&nbsp;&nbsp; Eli Lilly & Co.  | &nbsp;&nbsp;&nbsp; Eli Lilly & Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 2/9/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 15300 | &nbsp;&nbsp;&nbsp;&nbsp; 15597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 2/9/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 17320 | &nbsp;&nbsp;&nbsp;&nbsp; 16551 |
| &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; 10738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 12/10/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 | &nbsp;&nbsp;&nbsp;&nbsp; 4495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/10/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 14550 | &nbsp;&nbsp;&nbsp;&nbsp; 8747 |
| &nbsp;&nbsp;&nbsp; Pfizer Investment Enterprises Pte. Ltd. 5.30%, 5/19/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 36640 | &nbsp;&nbsp;&nbsp;&nbsp; 35513 |
| &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; 1099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 7/9/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 19354 | &nbsp;&nbsp;&nbsp;&nbsp; 15008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 7/5/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 7762 | &nbsp;&nbsp;&nbsp;&nbsp; 7953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.18%, 7/9/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 16452 | &nbsp;&nbsp;&nbsp;&nbsp; 11245 |
| &nbsp;&nbsp;&nbsp; Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2504 | &nbsp;&nbsp;&nbsp;&nbsp; 2495 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 182561 |
| **Real Estate Management & Development — 0.0% ^** | **Real Estate Management & Development — 0.0% ^** | **Real Estate Management & Development — 0.0% ^** |
| &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; 6531 |
| **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; 7813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6190 | &nbsp;&nbsp;&nbsp;&nbsp; 6458 |
| &nbsp;&nbsp;&nbsp; Mid-America Apartments LP 1.70%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 4837 |
| &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; 3800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1354 | &nbsp;&nbsp;&nbsp;&nbsp; 1337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4750 | &nbsp;&nbsp;&nbsp;&nbsp; 4408 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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** |
| **Residential REITs — continued** | **Residential REITs — continued** | **Residential REITs — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5520 | &nbsp;&nbsp;&nbsp;&nbsp; 4741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6440 | &nbsp;&nbsp;&nbsp;&nbsp; 5627 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 39021 |
| **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; 5873 |
| &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; 3.60%, 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5527 | &nbsp;&nbsp;&nbsp;&nbsp; 5496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9180 | &nbsp;&nbsp;&nbsp;&nbsp; 9578 |
| &nbsp;&nbsp;&nbsp; Realty Income Corp. 3.00%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2243 | &nbsp;&nbsp;&nbsp;&nbsp; 2219 |
| &nbsp;&nbsp;&nbsp; Regency Centers LP 4.13%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1755 | &nbsp;&nbsp;&nbsp;&nbsp; 1757 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 32815 |
| **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; 3962 |
| &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; 17499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10780 | &nbsp;&nbsp;&nbsp;&nbsp; 10908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.14%, 11/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40051 | &nbsp;&nbsp;&nbsp;&nbsp; 35078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 16008 | &nbsp;&nbsp;&nbsp;&nbsp; 16046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.19%, 11/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5766 | &nbsp;&nbsp;&nbsp;&nbsp; 4979 |
| &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; 6581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7655 | &nbsp;&nbsp;&nbsp;&nbsp; 5038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 8/12/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7655 | &nbsp;&nbsp;&nbsp;&nbsp; 4838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 2/10/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 17000 | &nbsp;&nbsp;&nbsp;&nbsp; 16296 |
| &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; 4984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 7/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6502 |
| &nbsp;&nbsp;&nbsp; Marvell Technology, Inc.  | &nbsp;&nbsp;&nbsp; Marvell Technology, Inc.  | &nbsp;&nbsp;&nbsp; Marvell Technology, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 7/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5518 | &nbsp;&nbsp;&nbsp;&nbsp; 5600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 4/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7790 | &nbsp;&nbsp;&nbsp;&nbsp; 7229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 7/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 17842 | &nbsp;&nbsp;&nbsp;&nbsp; 18438 |
| &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; 30981 | &nbsp;&nbsp;&nbsp;&nbsp; 28015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/11/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 24465 | &nbsp;&nbsp;&nbsp;&nbsp; 18627 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 214678 |
| **Software — 0.4%** | **Software — 0.4%** | **Software — 0.4%** |
| &nbsp;&nbsp;&nbsp; Intuit, Inc. 5.50%, 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 7410 | &nbsp;&nbsp;&nbsp;&nbsp; 7450 |
| &nbsp;&nbsp;&nbsp; Microsoft Corp. 3.04%, 3/17/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 1820 | &nbsp;&nbsp;&nbsp;&nbsp; 1179 |
| &nbsp;&nbsp;&nbsp; Oracle Corp.  | &nbsp;&nbsp;&nbsp; Oracle Corp.  | &nbsp;&nbsp;&nbsp; Oracle Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 9/26/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19220 | &nbsp;&nbsp;&nbsp;&nbsp; 18895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 2/6/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9640 | &nbsp;&nbsp;&nbsp;&nbsp; 9427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 5/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1952 | &nbsp;&nbsp;&nbsp;&nbsp; 1725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 10434 | &nbsp;&nbsp;&nbsp;&nbsp; 8048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 19515 | &nbsp;&nbsp;&nbsp;&nbsp; 14848 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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** |
| **Software — continued** | **Software — continued** | **Software — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 9/26/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 13100 | &nbsp;&nbsp;&nbsp;&nbsp; 12352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8872 | &nbsp;&nbsp;&nbsp;&nbsp; 6478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 53900 | &nbsp;&nbsp;&nbsp;&nbsp; 35654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 3/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 6959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 8/3/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 21660 | &nbsp;&nbsp;&nbsp;&nbsp; 20124 |
| &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; 4.75%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9385 | &nbsp;&nbsp;&nbsp;&nbsp; 9519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 10/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 24270 | &nbsp;&nbsp;&nbsp;&nbsp; 24373 |
| &nbsp;&nbsp;&nbsp; Synopsys, Inc. 5.15%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 20850 | &nbsp;&nbsp;&nbsp;&nbsp; 21314 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 198345 |
| **Specialized REITs — 0.2%** | **Specialized REITs — 0.2%** | **Specialized REITs — 0.2%** |
| &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; 4352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8940 | &nbsp;&nbsp;&nbsp;&nbsp; 8122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 19410 | &nbsp;&nbsp;&nbsp;&nbsp; 17302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 17280 | &nbsp;&nbsp;&nbsp;&nbsp; 18538 |
| &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; 2059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12355 | &nbsp;&nbsp;&nbsp;&nbsp; 12839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 12960 | &nbsp;&nbsp;&nbsp;&nbsp; 13651 |
| &nbsp;&nbsp;&nbsp; Extra Space Storage LP 3.50%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8937 | &nbsp;&nbsp;&nbsp;&nbsp; 8898 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 85761 |
| **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; 10675 |
| &nbsp;&nbsp;&nbsp; O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4715 | &nbsp;&nbsp;&nbsp;&nbsp; 4681 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 15356 |
| **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; 11308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 8/4/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3512 | &nbsp;&nbsp;&nbsp;&nbsp; 2909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 9/12/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 13570 | &nbsp;&nbsp;&nbsp;&nbsp; 10978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/13/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 8/5/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 57605 | &nbsp;&nbsp;&nbsp;&nbsp; 36974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 8/8/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 5260 | &nbsp;&nbsp;&nbsp;&nbsp; 4258 |
| &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; 2501 | &nbsp;&nbsp;&nbsp;&nbsp; 2516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5595 | &nbsp;&nbsp;&nbsp;&nbsp; 5625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5508 | &nbsp;&nbsp;&nbsp;&nbsp; 5635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4770 | &nbsp;&nbsp;&nbsp;&nbsp; 4889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 46000 | &nbsp;&nbsp;&nbsp;&nbsp; 47729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 12/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 242 | &nbsp;&nbsp;&nbsp;&nbsp; 168 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 140483 |
| **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; 24752 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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** |
| **Tobacco — continued** | **Tobacco — continued** | **Tobacco — continued** |
| &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; 4.39%, 8/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 9875 | &nbsp;&nbsp;&nbsp;&nbsp; 9147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 8/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 12507 | &nbsp;&nbsp;&nbsp;&nbsp; 10552 |
| &nbsp;&nbsp;&nbsp; BAT International Finance plc (United Kingdom) 1.67%, 3/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 10912 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 55363 |
| **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; 5.38%, 7/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 4/10/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9650 | &nbsp;&nbsp;&nbsp;&nbsp; 9815 |
| &nbsp;&nbsp;&nbsp; WW Grainger, Inc. 4.60%, 6/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4364 | &nbsp;&nbsp;&nbsp;&nbsp; 3996 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 34343 |
| **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; 6.59%, 10/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 3354 | &nbsp;&nbsp;&nbsp;&nbsp; 3838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2241 | &nbsp;&nbsp;&nbsp;&nbsp; 1838 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5676 |
| **Wireless Telecommunication Services — 0.1%** | **Wireless Telecommunication Services — 0.1%** | **Wireless Telecommunication Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; America Movil SAB de CV (Mexico) 4.38%, 4/22/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8284 | &nbsp;&nbsp;&nbsp;&nbsp; 7085 |
| &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; 17918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 25095 | &nbsp;&nbsp;&nbsp;&nbsp; 24720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 10/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16650 | &nbsp;&nbsp;&nbsp;&nbsp; 11449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 9450 | &nbsp;&nbsp;&nbsp;&nbsp; 9134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 2729 |
| &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) 5.63%, 2/10/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3745 | &nbsp;&nbsp;&nbsp;&nbsp; 3639 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 76674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $13,349,337)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 13063405 |
| **Mortgage-Backed Securities — 21.3%** | **Mortgage-Backed Securities — 21.3%** | **Mortgage-Backed Securities — 21.3%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785618, ARM, 6.13%, 7/1/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 789758, ARM, 6.50%, 9/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847621, ARM, 6.43%, 5/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781087, ARM, 6.36%, 12/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B1665, ARM, 6.75%, 4/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782870, ARM, 6.40%, 9/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782979, ARM, 6.50%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 346 | &nbsp;&nbsp;&nbsp;&nbsp; 357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782980, ARM, 6.50%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0007, ARM, 6.64%, 12/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848431, ARM, 6.22%, 2/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0025, ARM, 6.44%, 2/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1861, ARM, 6.91%, 3/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1380, ARM, 7.37%, 3/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1H2618, ARM, 6.35%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp; 220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1286, ARM, 6.50%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # 1G2415, ARM, 7.33%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2557, ARM, 6.80%, 6/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 362 | &nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848068, ARM, 6.99%, 6/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1H2623, ARM, 6.25%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848365, ARM, 6.30%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1082, ARM, 6.40%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1085, ARM, 6.50%, 8/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0105, ARM, 6.42%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B7242, ARM, 6.66%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp;&nbsp;&nbsp; 337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0249, ARM, 6.32%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2539, ARM, 6.35%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1096, ARM, 6.36%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp; 359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1097, ARM, 6.42%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1K0046, ARM, 6.48%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1348, ARM, 6.69%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848115, ARM, 6.18%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1378, ARM, 6.27%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782760, ARM, 6.29%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0737, ARM, 6.42%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2671, ARM, 6.51%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1419, ARM, 6.13%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1418, ARM, 6.32%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1634, ARM, 6.35%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp; 693 |
| &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, 6.84%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1478, ARM, 6.66%, 1/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1516, ARM, 6.63%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1554, ARM, 6.84%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0353, ARM, 6.86%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0739, ARM, 6.54%, 3/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B7303, ARM, 7.35%, 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; 182 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0697, ARM, 6.19%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp;&nbsp;&nbsp; 292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1463, ARM, 6.52%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1477, ARM, 6.53%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1193, ARM, 6.64%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0783, ARM, 6.92%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1621, ARM, 7.18%, 5/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J0533, ARM, 6.62%, 7/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2945, ARM, 6.50%, 11/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 6.83%, 4/1/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0789, ARM, 6.87%, 5/1/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848699, ARM, 6.55%, 7/1/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &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; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91417, 3.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1027 | &nbsp;&nbsp;&nbsp;&nbsp; 1014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91403, 3.50%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp;&nbsp;&nbsp; 388 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; FHLMC Gold Pools, 30 Year  |  |  |
| &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; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C47315, 6.50%, 8/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03029, 6.00%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A88871, 7.00%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C68485, 7.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01448, 7.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C75791, 5.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A13625, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16107, 6.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01864, 5.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A17537, 6.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A23139, 5.00%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A61572, 5.00%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A28796, 6.50%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03369, 6.50%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 206 | &nbsp;&nbsp;&nbsp;&nbsp; 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A70350, 5.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46987, 5.50%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05713, 6.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03777, 5.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02660, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02427, 5.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &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; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04949, 6.50%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03666, 7.50%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp;&nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04952, 7.50%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04077, 6.50%, 3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05671, 5.50%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05190, 7.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C03466, 5.50%, 3/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93383, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 734 | &nbsp;&nbsp;&nbsp;&nbsp; 757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93511, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2800 | &nbsp;&nbsp;&nbsp;&nbsp; 2888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G06493, 4.50%, 5/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 5092 | &nbsp;&nbsp;&nbsp;&nbsp; 5145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # V80351, 3.00%, 8/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 10038 | &nbsp;&nbsp;&nbsp;&nbsp; 9330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q52834, 4.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1110 | &nbsp;&nbsp;&nbsp;&nbsp; 1077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Z40179, 4.00%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 17807 | &nbsp;&nbsp;&nbsp;&nbsp; 17315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q57995, 5.00%, 8/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3054 | &nbsp;&nbsp;&nbsp;&nbsp; 3130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q61104, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1062 | &nbsp;&nbsp;&nbsp;&nbsp; 1030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q61107, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1817 | &nbsp;&nbsp;&nbsp;&nbsp; 1764 |
| &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; 48014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P20570, 7.00%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # B90491, 7.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WA3237, 3.55%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 25142 | &nbsp;&nbsp;&nbsp;&nbsp; 24093 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # WA1630, 4.15%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6745 | &nbsp;&nbsp;&nbsp;&nbsp; 6696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80192, 3.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 648 | &nbsp;&nbsp;&nbsp;&nbsp; 635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80342, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80345, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1756 | &nbsp;&nbsp;&nbsp;&nbsp; 1730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN3233, 3.19%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 61359 | &nbsp;&nbsp;&nbsp;&nbsp; 57575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN3225, 3.80%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50523, 6.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # H05030, 6.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # L10291, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 427 | &nbsp;&nbsp;&nbsp;&nbsp; 445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51353, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 449 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50595, 6.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 747 | &nbsp;&nbsp;&nbsp;&nbsp; 788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51361, 6.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp;&nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20028, 7.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50536, 6.50%, 2/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WA3186, 3.86%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2020 | &nbsp;&nbsp;&nbsp;&nbsp; 1916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50556, 6.50%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90690, 3.50%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6623 | &nbsp;&nbsp;&nbsp;&nbsp; 6342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90975, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4881 | &nbsp;&nbsp;&nbsp;&nbsp; 4789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T65101, 4.00%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90402, 3.50%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp; 546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90673, 4.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp;&nbsp;&nbsp; 653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91192, 4.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 904 | &nbsp;&nbsp;&nbsp;&nbsp; 884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91488, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 799 | &nbsp;&nbsp;&nbsp;&nbsp; 764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99051, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99134, 4.00%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 23472 | &nbsp;&nbsp;&nbsp;&nbsp; 22913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69030, 4.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7911 | &nbsp;&nbsp;&nbsp;&nbsp; 7942 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5026 | &nbsp;&nbsp;&nbsp;&nbsp; 4905 |
| &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; 9347 | &nbsp;&nbsp;&nbsp;&nbsp; 8494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT2236, 4.00%, 6/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 14066 | &nbsp;&nbsp;&nbsp;&nbsp; 13655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT2212, 4.00%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3307 | &nbsp;&nbsp;&nbsp;&nbsp; 3209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA0149, 4.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2995 | &nbsp;&nbsp;&nbsp;&nbsp; 2916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA2578, 3.50%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1169 | &nbsp;&nbsp;&nbsp;&nbsp; 1092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2008, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9998 | &nbsp;&nbsp;&nbsp;&nbsp; 9659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2282, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5822 | &nbsp;&nbsp;&nbsp;&nbsp; 5724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA7351, 3.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5544 | &nbsp;&nbsp;&nbsp;&nbsp; 4987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB0704, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9110 | &nbsp;&nbsp;&nbsp;&nbsp; 7769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB1571, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10042 | &nbsp;&nbsp;&nbsp;&nbsp; 8563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8089, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 76233 | &nbsp;&nbsp;&nbsp;&nbsp; 65471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB2879, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2362 | &nbsp;&nbsp;&nbsp;&nbsp; 2014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB7670, 2.50%, 1/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4203 | &nbsp;&nbsp;&nbsp;&nbsp; 3577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB8840, 2.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7342 | &nbsp;&nbsp;&nbsp;&nbsp; 6250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD4044, 2.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 32931 | &nbsp;&nbsp;&nbsp;&nbsp; 28614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QC2061, 2.00%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14362 | &nbsp;&nbsp;&nbsp;&nbsp; 11863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8152, 3.00%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10673 | &nbsp;&nbsp;&nbsp;&nbsp; 9539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6135, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 15295 | &nbsp;&nbsp;&nbsp;&nbsp; 13184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1964, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 55523 | &nbsp;&nbsp;&nbsp;&nbsp; 47872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6128, 3.00%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 28990 | &nbsp;&nbsp;&nbsp;&nbsp; 25997 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # RA6228, 2.50%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16170 | &nbsp;&nbsp;&nbsp;&nbsp; 13895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6222, 3.00%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 15073 | &nbsp;&nbsp;&nbsp;&nbsp; 13441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6459, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 26318 | &nbsp;&nbsp;&nbsp;&nbsp; 22404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6652, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 28845 | &nbsp;&nbsp;&nbsp;&nbsp; 24629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6606, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 19324 | &nbsp;&nbsp;&nbsp;&nbsp; 17374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD0809, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5819 | &nbsp;&nbsp;&nbsp;&nbsp; 5215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1076, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10229 | &nbsp;&nbsp;&nbsp;&nbsp; 9165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD5768, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12266 | &nbsp;&nbsp;&nbsp;&nbsp; 11010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6815, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6046 | &nbsp;&nbsp;&nbsp;&nbsp; 5206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6702, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 39680 | &nbsp;&nbsp;&nbsp;&nbsp; 35259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3952, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 39950 | &nbsp;&nbsp;&nbsp;&nbsp; 34431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD7554, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 55866 | &nbsp;&nbsp;&nbsp;&nbsp; 48526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8212, 2.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 65798 | &nbsp;&nbsp;&nbsp;&nbsp; 56282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3362, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 22284 | &nbsp;&nbsp;&nbsp;&nbsp; 19994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD6410, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10371 | &nbsp;&nbsp;&nbsp;&nbsp; 9300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8213, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 100438 | &nbsp;&nbsp;&nbsp;&nbsp; 89556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SL1024, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 28964 | &nbsp;&nbsp;&nbsp;&nbsp; 26073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD6159, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 92549 | &nbsp;&nbsp;&nbsp;&nbsp; 82723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SL0293, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA7468, 4.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 26569 | &nbsp;&nbsp;&nbsp;&nbsp; 25615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1365, 4.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 49451 | &nbsp;&nbsp;&nbsp;&nbsp; 47368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA7683, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 21344 | &nbsp;&nbsp;&nbsp;&nbsp; 21465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA7843, 4.00%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 34755 | &nbsp;&nbsp;&nbsp;&nbsp; 33295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1725, 4.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 74312 | &nbsp;&nbsp;&nbsp;&nbsp; 71212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1713, 5.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 30772 | &nbsp;&nbsp;&nbsp;&nbsp; 31139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD2394, 4.50%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12198 | &nbsp;&nbsp;&nbsp;&nbsp; 12074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD2355, 4.50%, 12/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9770 | &nbsp;&nbsp;&nbsp;&nbsp; 9670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA8766, 5.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 20351 | &nbsp;&nbsp;&nbsp;&nbsp; 20471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3567, 4.50%, 5/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 15787 | &nbsp;&nbsp;&nbsp;&nbsp; 15626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA9259, 5.00%, 6/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 21919 | &nbsp;&nbsp;&nbsp;&nbsp; 22016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RJ2912, 5.50%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 15588 | &nbsp;&nbsp;&nbsp;&nbsp; 15932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RJ2914, 5.50%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 59089 | &nbsp;&nbsp;&nbsp;&nbsp; 60092 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 54844, ARM, 4.34%, 9/1/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303532, ARM, 4.45%, 3/1/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555732, ARM, 6.37%, 8/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 658481, ARM, 5.99%, 9/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 746299, ARM, 6.64%, 9/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 743546, ARM, 5.93%, 11/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 766610, ARM, 6.35%, 1/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &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; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782306, ARM, 5.67%, 7/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 800422, ARM, 5.93%, 8/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790235, ARM, 6.23%, 8/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790964, ARM, 6.40%, 9/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 794792, ARM, 6.21%, 10/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 896463, ARM, 6.45%, 10/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781563, ARM, 5.87%, 11/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # 799912, ARM, 6.24%, 11/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 5.99%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp; 312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 809319, ARM, 6.67%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816594, ARM, 6.25%, 2/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &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; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745862, ARM, 6.39%, 4/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821378, ARM, 6.04%, 5/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &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; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 832801, ARM, 6.46%, 9/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 851432, ARM, 6.58%, 10/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849251, ARM, 6.05%, 1/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745445, ARM, 6.32%, 1/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920340, ARM, 6.87%, 2/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920843, ARM, 7.02%, 3/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 543 | &nbsp;&nbsp;&nbsp;&nbsp; 562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 868952, ARM, 6.81%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 872825, ARM, 6.42%, 6/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884066, ARM, 6.61%, 6/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 892868, ARM, 6.52%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884722, ARM, 6.12%, 8/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 6.34%, 8/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920547, ARM, 6.23%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 893580, ARM, 6.32%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886772, ARM, 6.48%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894452, ARM, 6.57%, 9/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894239, ARM, 6.06%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900197, ARM, 6.79%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp;&nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900191, ARM, 6.82%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902818, ARM, 6.32%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902955, ARM, 6.01%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920954, ARM, 5.92%, 1/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888184, ARM, 6.52%, 1/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 913984, ARM, 6.09%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 915645, ARM, 6.63%, 2/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888307, ARM, 6.62%, 4/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 948208, ARM, 5.82%, 7/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 938346, ARM, 6.56%, 7/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995919, ARM, 6.59%, 7/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 945032, ARM, 7.08%, 8/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp;&nbsp;&nbsp; 257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 952835, ARM, 6.41%, 9/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 946362, ARM, 6.51%, 9/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 946260, ARM, 6.66%, 9/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0085, ARM, 5.74%, 11/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995108, ARM, 6.21%, 11/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0179, ARM, 5.78%, 12/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year Pool # FM3386, 3.50%, 7/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp;&nbsp; 426 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256311, 6.00%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256352, 6.50%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # 256803, 6.00%, 7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256962, 6.00%, 11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257007, 6.00%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257048, 6.00%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890222, 6.00%, 10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0049, 6.00%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7761, 3.50%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1138, 3.50%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1640 | &nbsp;&nbsp;&nbsp;&nbsp; 1621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6238, 4.00%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4849 | &nbsp;&nbsp;&nbsp;&nbsp; 4801 |
| &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; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695533, 8.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &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; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 455759, 6.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252211, 6.00%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889020, 6.50%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 494 | &nbsp;&nbsp;&nbsp;&nbsp; 511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 598559, 6.50%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 679886, 6.50%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 682078, 5.50%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp;&nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 675555, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0045, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 306 | &nbsp;&nbsp;&nbsp;&nbsp; 317 |
| &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; 169 | &nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 674349, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 688625, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &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; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702901, 6.00%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 720576, 5.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995656, 7.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 723852, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729296, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 720155, 5.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729379, 6.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0917, 5.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 454 | &nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737825, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 750977, 4.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725027, 5.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755109, 5.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 753174, 4.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725017, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp;&nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759424, 5.50%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751341, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770405, 5.00%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp; 197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 776708, 5.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC1317, 4.50%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888568, 5.00%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # 810663, 5.00%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995003, 7.50%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995156, 7.50%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735503, 6.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 827776, 5.00%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820347, 5.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745148, 5.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888417, 6.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp;&nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745275, 5.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833629, 7.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745418, 5.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888016, 5.50%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888209, 5.50%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 870770, 6.50%, 7/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 976871, 6.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp;&nbsp;&nbsp; 343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0922, 6.00%, 9/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 793 | &nbsp;&nbsp;&nbsp;&nbsp; 828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745948, 6.50%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA1019, 6.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888476, 7.50%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 928584, 6.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 945870, 6.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 986648, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 246 | &nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 928670, 7.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888890, 6.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888707, 7.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 372 | &nbsp;&nbsp;&nbsp;&nbsp; 394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888892, 7.50%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0662, 5.50%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995505, 8.00%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 929331, 6.00%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 909236, 7.00%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp; 252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890268, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995149, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 836 | &nbsp;&nbsp;&nbsp;&nbsp; 888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 934591, 7.00%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB2869, 6.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 206 | &nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 991908, 7.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995504, 7.50%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257510, 7.00%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 585 | &nbsp;&nbsp;&nbsp;&nbsp; 627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0753, 7.00%, 1/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 689 | &nbsp;&nbsp;&nbsp;&nbsp; 736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0780, 7.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 486 | &nbsp;&nbsp;&nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC2948, 5.00%, 9/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 338 | &nbsp;&nbsp;&nbsp;&nbsp; 348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC3740, 5.50%, 9/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC7296, 5.50%, 12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp;&nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD7790, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1831 | &nbsp;&nbsp;&nbsp;&nbsp; 1886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD9151, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 626 | &nbsp;&nbsp;&nbsp;&nbsp; 647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2059, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4372 | &nbsp;&nbsp;&nbsp;&nbsp; 4297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9017, 3.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6736 | &nbsp;&nbsp;&nbsp;&nbsp; 6254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT5891, 3.00%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 8235 | &nbsp;&nbsp;&nbsp;&nbsp; 7645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9860, 3.00%, 7/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5962 | &nbsp;&nbsp;&nbsp;&nbsp; 5535 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # AL7527, 4.50%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2838 | &nbsp;&nbsp;&nbsp;&nbsp; 2864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7496, 3.50%, 5/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 12143 | &nbsp;&nbsp;&nbsp;&nbsp; 11595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AX9319, 3.50%, 12/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 5042 | &nbsp;&nbsp;&nbsp;&nbsp; 4796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7380, 3.50%, 2/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7128 | &nbsp;&nbsp;&nbsp;&nbsp; 6808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS6479, 3.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 17566 | &nbsp;&nbsp;&nbsp;&nbsp; 16818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1213, 4.00%, 4/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 6812 | &nbsp;&nbsp;&nbsp;&nbsp; 6658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH7650, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2890 | &nbsp;&nbsp;&nbsp;&nbsp; 2806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3500, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 21445 | &nbsp;&nbsp;&nbsp;&nbsp; 21201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8344, 4.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 995 | &nbsp;&nbsp;&nbsp;&nbsp; 966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7248, 4.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3043 | &nbsp;&nbsp;&nbsp;&nbsp; 2959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8349, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1698 | &nbsp;&nbsp;&nbsp;&nbsp; 1648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ5756, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3515 | &nbsp;&nbsp;&nbsp;&nbsp; 3388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7310, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5980 | &nbsp;&nbsp;&nbsp;&nbsp; 5807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ8237, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3405 | &nbsp;&nbsp;&nbsp;&nbsp; 3305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ8264, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2322 | &nbsp;&nbsp;&nbsp;&nbsp; 2254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3375, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4186 | &nbsp;&nbsp;&nbsp;&nbsp; 4070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK1007, 4.00%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp;&nbsp;&nbsp; 1014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK1134, 4.00%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3622 | &nbsp;&nbsp;&nbsp;&nbsp; 3517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3665, 4.00%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 26123 | &nbsp;&nbsp;&nbsp;&nbsp; 25398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8366, 4.50%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2822 | &nbsp;&nbsp;&nbsp;&nbsp; 2812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7982, 5.00%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3016 | &nbsp;&nbsp;&nbsp;&nbsp; 3107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0271, 4.50%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 872 | &nbsp;&nbsp;&nbsp;&nbsp; 869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1315, 4.50%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp; 1391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4733, 5.50%, 3/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp; 243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8745, 4.50%, 4/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1873 | &nbsp;&nbsp;&nbsp;&nbsp; 1854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM1939, 4.50%, 5/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9471 | &nbsp;&nbsp;&nbsp;&nbsp; 9394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8753, 4.50%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2702 | &nbsp;&nbsp;&nbsp;&nbsp; 2678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3713, 5.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1186 | &nbsp;&nbsp;&nbsp;&nbsp; 1206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2305, 4.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3260 | &nbsp;&nbsp;&nbsp;&nbsp; 3153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO5607, 3.50%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1865 | &nbsp;&nbsp;&nbsp;&nbsp; 1744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1405, 4.00%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4218 | &nbsp;&nbsp;&nbsp;&nbsp; 4071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4392, 3.50%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3748 | &nbsp;&nbsp;&nbsp;&nbsp; 3516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP3048, 3.00%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4056 | &nbsp;&nbsp;&nbsp;&nbsp; 3643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5299, 3.50%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4587 | &nbsp;&nbsp;&nbsp;&nbsp; 4448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5702, 2.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 39960 | &nbsp;&nbsp;&nbsp;&nbsp; 34643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5729, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4456 | &nbsp;&nbsp;&nbsp;&nbsp; 3995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3671, 4.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4478 | &nbsp;&nbsp;&nbsp;&nbsp; 4558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6079, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 39896 | &nbsp;&nbsp;&nbsp;&nbsp; 34021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2746, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 17904 | &nbsp;&nbsp;&nbsp;&nbsp; 15268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9823, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp; 486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9948, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 776 | &nbsp;&nbsp;&nbsp;&nbsp; 662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6361, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 41404 | &nbsp;&nbsp;&nbsp;&nbsp; 36028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6708, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 26290 | &nbsp;&nbsp;&nbsp;&nbsp; 22926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM4051, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 17403 | &nbsp;&nbsp;&nbsp;&nbsp; 14994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6989, 2.50%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 56967 | &nbsp;&nbsp;&nbsp;&nbsp; 49542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM4532, 3.00%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10811 | &nbsp;&nbsp;&nbsp;&nbsp; 9722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ1155, 2.50%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 15749 | &nbsp;&nbsp;&nbsp;&nbsp; 13430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7669, 2.50%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 692 | &nbsp;&nbsp;&nbsp;&nbsp; 590 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # FS3599, 2.50%, 1/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 77044 | &nbsp;&nbsp;&nbsp;&nbsp; 66206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4516, 2.00%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7089 | &nbsp;&nbsp;&nbsp;&nbsp; 5811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0047, 3.00%, 4/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16019 | &nbsp;&nbsp;&nbsp;&nbsp; 14235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0458, 2.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 28308 | &nbsp;&nbsp;&nbsp;&nbsp; 24290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0514, 2.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 22775 | &nbsp;&nbsp;&nbsp;&nbsp; 19683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0674, 2.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 41902 | &nbsp;&nbsp;&nbsp;&nbsp; 36007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0531, 3.00%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 59190 | &nbsp;&nbsp;&nbsp;&nbsp; 53035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8172, 3.00%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 19610 | &nbsp;&nbsp;&nbsp;&nbsp; 17583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM7916, 2.50%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 18103 | &nbsp;&nbsp;&nbsp;&nbsp; 15611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5384, 2.50%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 70802 | &nbsp;&nbsp;&nbsp;&nbsp; 61435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9523, 2.50%, 7/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 12306 | &nbsp;&nbsp;&nbsp;&nbsp; 10809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1411, 3.00%, 8/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 45161 | &nbsp;&nbsp;&nbsp;&nbsp; 40465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8817, 2.50%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 41152 | &nbsp;&nbsp;&nbsp;&nbsp; 35531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4539, 3.00%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8316 | &nbsp;&nbsp;&nbsp;&nbsp; 7458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU0070, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 39859 | &nbsp;&nbsp;&nbsp;&nbsp; 34109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1901, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 35590 | &nbsp;&nbsp;&nbsp;&nbsp; 31041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9195, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 45461 | &nbsp;&nbsp;&nbsp;&nbsp; 39192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1874, 3.00%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3467 | &nbsp;&nbsp;&nbsp;&nbsp; 3109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1878, 3.00%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8080 | &nbsp;&nbsp;&nbsp;&nbsp; 7240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4466, 2.50%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 78395 | &nbsp;&nbsp;&nbsp;&nbsp; 67244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2066, 3.00%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6683 | &nbsp;&nbsp;&nbsp;&nbsp; 5993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4645, 4.00%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13764 | &nbsp;&nbsp;&nbsp;&nbsp; 13198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2297, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14600 | &nbsp;&nbsp;&nbsp;&nbsp; 12583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9882, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9169 | &nbsp;&nbsp;&nbsp;&nbsp; 7876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3611, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5910 | &nbsp;&nbsp;&nbsp;&nbsp; 5128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2559, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 25831 | &nbsp;&nbsp;&nbsp;&nbsp; 23145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4494, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5738 | &nbsp;&nbsp;&nbsp;&nbsp; 5136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4108, 4.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4237 | &nbsp;&nbsp;&nbsp;&nbsp; 4064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7561, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17801 | &nbsp;&nbsp;&nbsp;&nbsp; 15363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2637, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 55597 | &nbsp;&nbsp;&nbsp;&nbsp; 47936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0196, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 61628 | &nbsp;&nbsp;&nbsp;&nbsp; 52461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV0492, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9134 | &nbsp;&nbsp;&nbsp;&nbsp; 8184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2664, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5719 | &nbsp;&nbsp;&nbsp;&nbsp; 5128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5731, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 25337 | &nbsp;&nbsp;&nbsp;&nbsp; 22575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3339, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8001 | &nbsp;&nbsp;&nbsp;&nbsp; 6915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA2022, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17714 | &nbsp;&nbsp;&nbsp;&nbsp; 15260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4284, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 45565 | &nbsp;&nbsp;&nbsp;&nbsp; 39051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4548, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 50781 | &nbsp;&nbsp;&nbsp;&nbsp; 43490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV4133, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 44230 | &nbsp;&nbsp;&nbsp;&nbsp; 37705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3031, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 11065 | &nbsp;&nbsp;&nbsp;&nbsp; 9469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0882, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 40820 | &nbsp;&nbsp;&nbsp;&nbsp; 35399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4533, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5898 | &nbsp;&nbsp;&nbsp;&nbsp; 5083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5446, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 42379 | &nbsp;&nbsp;&nbsp;&nbsp; 36298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0957, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 30792 | &nbsp;&nbsp;&nbsp;&nbsp; 27389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2246, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 33426 | &nbsp;&nbsp;&nbsp;&nbsp; 30425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4393, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12310 | &nbsp;&nbsp;&nbsp;&nbsp; 10973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV5360, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 49271 | &nbsp;&nbsp;&nbsp;&nbsp; 42145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7697, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 31720 | &nbsp;&nbsp;&nbsp;&nbsp; 27323 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # CB3360, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7692 | &nbsp;&nbsp;&nbsp;&nbsp; 6847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3361, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 26235 | &nbsp;&nbsp;&nbsp;&nbsp; 23507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6301, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16429 | &nbsp;&nbsp;&nbsp;&nbsp; 14733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU8924, 3.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 21403 | &nbsp;&nbsp;&nbsp;&nbsp; 19836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3378, 4.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 21187 | &nbsp;&nbsp;&nbsp;&nbsp; 20303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7119, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 647 | &nbsp;&nbsp;&nbsp;&nbsp; 635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7121, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1109 | &nbsp;&nbsp;&nbsp;&nbsp; 1096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7122, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3266 | &nbsp;&nbsp;&nbsp;&nbsp; 3223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7124, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 992 | &nbsp;&nbsp;&nbsp;&nbsp; 980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS9052, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 19732 | &nbsp;&nbsp;&nbsp;&nbsp; 17547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8375, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 15237 | &nbsp;&nbsp;&nbsp;&nbsp; 14570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3629, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 37160 | &nbsp;&nbsp;&nbsp;&nbsp; 35622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS1669, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 23388 | &nbsp;&nbsp;&nbsp;&nbsp; 22750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7111, 4.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1353 | &nbsp;&nbsp;&nbsp;&nbsp; 1337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7133, 4.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 826 | &nbsp;&nbsp;&nbsp;&nbsp; 816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2773, 2.50%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9840 | &nbsp;&nbsp;&nbsp;&nbsp; 8556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2645, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16184 | &nbsp;&nbsp;&nbsp;&nbsp; 14524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3786, 4.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 31046 | &nbsp;&nbsp;&nbsp;&nbsp; 29724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8849, 3.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18221 | &nbsp;&nbsp;&nbsp;&nbsp; 16339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA1355, 4.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 35046 | &nbsp;&nbsp;&nbsp;&nbsp; 33581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA1708, 3.00%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 47769 | &nbsp;&nbsp;&nbsp;&nbsp; 42967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8358, 3.50%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 19463 | &nbsp;&nbsp;&nbsp;&nbsp; 18064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4076, 4.00%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 15418 | &nbsp;&nbsp;&nbsp;&nbsp; 14791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4587, 4.50%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 15561 | &nbsp;&nbsp;&nbsp;&nbsp; 15306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4628, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 72965 | &nbsp;&nbsp;&nbsp;&nbsp; 73380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2982, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 23356 | &nbsp;&nbsp;&nbsp;&nbsp; 23485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4642, 6.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 13147 | &nbsp;&nbsp;&nbsp;&nbsp; 13563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3977, 4.50%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2550 | &nbsp;&nbsp;&nbsp;&nbsp; 2524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV0962, 5.00%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 11015 | &nbsp;&nbsp;&nbsp;&nbsp; 11025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1328, 5.00%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 40614 | &nbsp;&nbsp;&nbsp;&nbsp; 40724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5267, 4.50%, 12/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17658 | &nbsp;&nbsp;&nbsp;&nbsp; 17398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5412, 4.00%, 1/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6083 | &nbsp;&nbsp;&nbsp;&nbsp; 5820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5666, 4.00%, 2/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 37988 | &nbsp;&nbsp;&nbsp;&nbsp; 36400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5896, 5.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 20971 | &nbsp;&nbsp;&nbsp;&nbsp; 21012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5898, 5.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 16341 | &nbsp;&nbsp;&nbsp;&nbsp; 16431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB6313, 5.00%, 5/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 13947 | &nbsp;&nbsp;&nbsp;&nbsp; 13987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4395, 5.50%, 5/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 7886 | &nbsp;&nbsp;&nbsp;&nbsp; 8071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4714, 5.00%, 6/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 128688 | &nbsp;&nbsp;&nbsp;&nbsp; 128828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4776, 5.00%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 87371 | &nbsp;&nbsp;&nbsp;&nbsp; 87234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4770, 5.50%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 16591 | &nbsp;&nbsp;&nbsp;&nbsp; 16965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4775, 5.50%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11856 | &nbsp;&nbsp;&nbsp;&nbsp; 12025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7101, 5.50%, 8/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6199 | &nbsp;&nbsp;&nbsp;&nbsp; 6338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7130, 6.00%, 9/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9088 | &nbsp;&nbsp;&nbsp;&nbsp; 9405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DB1954, 5.00%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 85539 | &nbsp;&nbsp;&nbsp;&nbsp; 85432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DB4827, 5.00%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 39917 | &nbsp;&nbsp;&nbsp;&nbsp; 39865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC0876, 6.00%, 8/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 20142 | &nbsp;&nbsp;&nbsp;&nbsp; 20809 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252409, 6.50%, 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # 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; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3029, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3993 | &nbsp;&nbsp;&nbsp;&nbsp; 3833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5105, 3.50%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6055 | &nbsp;&nbsp;&nbsp;&nbsp; 5601 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4660, 3.77%, 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3106 | &nbsp;&nbsp;&nbsp;&nbsp; 3098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0767, 3.18%, 1/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7261 | &nbsp;&nbsp;&nbsp;&nbsp; 7236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1590, 2.40%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8096 | &nbsp;&nbsp;&nbsp;&nbsp; 8024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1497, 2.61%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11034 | &nbsp;&nbsp;&nbsp;&nbsp; 10934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1243, 2.64%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7998 | &nbsp;&nbsp;&nbsp;&nbsp; 7918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1247, 2.64%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9848 | &nbsp;&nbsp;&nbsp;&nbsp; 9753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468645, 4.54%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1894 | &nbsp;&nbsp;&nbsp;&nbsp; 1897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2367, 2.46%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5586 | &nbsp;&nbsp;&nbsp;&nbsp; 5518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468927, 4.77%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4574 | &nbsp;&nbsp;&nbsp;&nbsp; 4589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM6448, 3.25%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8624 | &nbsp;&nbsp;&nbsp;&nbsp; 8562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7117, 3.14%, 12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16736 | &nbsp;&nbsp;&nbsp;&nbsp; 16587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7262, 3.19%, 12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14787 | &nbsp;&nbsp;&nbsp;&nbsp; 14657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7011, 3.22%, 12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2498 | &nbsp;&nbsp;&nbsp;&nbsp; 2478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FN0029, 4.47%, 12/1/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4218 | &nbsp;&nbsp;&nbsp;&nbsp; 4234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8008, 2.94%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10440 | &nbsp;&nbsp;&nbsp;&nbsp; 10310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8803, 2.78%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3562 | &nbsp;&nbsp;&nbsp;&nbsp; 3504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9170, 3.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3969 | &nbsp;&nbsp;&nbsp;&nbsp; 3916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9345, 3.25%, 7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6723 | &nbsp;&nbsp;&nbsp;&nbsp; 6657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7048, 2.90%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5915 | &nbsp;&nbsp;&nbsp;&nbsp; 5815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM1469, 2.96%, 11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3235 | &nbsp;&nbsp;&nbsp;&nbsp; 3189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7669, 2.83%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 18432 | &nbsp;&nbsp;&nbsp;&nbsp; 18082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8114, 3.00%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7113 | &nbsp;&nbsp;&nbsp;&nbsp; 6998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8048, 3.08%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 43775 | &nbsp;&nbsp;&nbsp;&nbsp; 43318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7943, 3.10%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13701 | &nbsp;&nbsp;&nbsp;&nbsp; 13494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8221, 4.56%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10254 | &nbsp;&nbsp;&nbsp;&nbsp; 10400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1600, 2.59%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5672 | &nbsp;&nbsp;&nbsp;&nbsp; 5524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9686, 3.52%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 29378 | &nbsp;&nbsp;&nbsp;&nbsp; 29138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9486, 3.57%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25500 | &nbsp;&nbsp;&nbsp;&nbsp; 25319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2005, 2.73%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8978 | &nbsp;&nbsp;&nbsp;&nbsp; 8716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 387806, 3.55%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14761 | &nbsp;&nbsp;&nbsp;&nbsp; 14640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8383, 4.62%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7514 | &nbsp;&nbsp;&nbsp;&nbsp; 7681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8384, 4.62%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5246 | &nbsp;&nbsp;&nbsp;&nbsp; 5363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1040, 3.81%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 42090 | &nbsp;&nbsp;&nbsp;&nbsp; 42033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0907, 3.88%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11997 | &nbsp;&nbsp;&nbsp;&nbsp; 11938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1435, 3.53%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22456 | &nbsp;&nbsp;&nbsp;&nbsp; 22221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8376, 4.60%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9263 | &nbsp;&nbsp;&nbsp;&nbsp; 9484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4317, 2.27%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4291 | &nbsp;&nbsp;&nbsp;&nbsp; 4048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6615, 3.50%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 14504 | &nbsp;&nbsp;&nbsp;&nbsp; 14303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6621, 3.50%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 32089 | &nbsp;&nbsp;&nbsp;&nbsp; 31600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6846, 2.93%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12601 | &nbsp;&nbsp;&nbsp;&nbsp; 12114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6739, 3.82%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 45001 | &nbsp;&nbsp;&nbsp;&nbsp; 44869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4592, 2.28%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 27630 | &nbsp;&nbsp;&nbsp;&nbsp; 25985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4333, 2.52%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 38731 | &nbsp;&nbsp;&nbsp;&nbsp; 36727 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # AM8123, 2.92%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7068 | &nbsp;&nbsp;&nbsp;&nbsp; 6809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7785, 3.17%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5452 | &nbsp;&nbsp;&nbsp;&nbsp; 5286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7516, 3.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 12798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7388, 4.82%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10437 | &nbsp;&nbsp;&nbsp;&nbsp; 10748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8692, 3.03%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 24143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8544, 3.08%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13508 | &nbsp;&nbsp;&nbsp;&nbsp; 13072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8889, 2.92%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11320 | &nbsp;&nbsp;&nbsp;&nbsp; 10864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8151, 2.94%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11470 | &nbsp;&nbsp;&nbsp;&nbsp; 11021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9154, 3.64%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3796 | &nbsp;&nbsp;&nbsp;&nbsp; 3747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7669, 4.75%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8177 | &nbsp;&nbsp;&nbsp;&nbsp; 8428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9020, 2.97%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6955 | &nbsp;&nbsp;&nbsp;&nbsp; 6691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8461, 4.27%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 22856 | &nbsp;&nbsp;&nbsp;&nbsp; 23081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7678, 4.75%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp; 8761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8846, 4.09%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 34350 | &nbsp;&nbsp;&nbsp;&nbsp; 34389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7681, 4.75%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4758 | &nbsp;&nbsp;&nbsp;&nbsp; 4906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1291, 4.82%, 8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 15307 | &nbsp;&nbsp;&nbsp;&nbsp; 15815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9293, 3.71%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp; 59130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8736, 4.37%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9238 | &nbsp;&nbsp;&nbsp;&nbsp; 9330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9494, 1.46%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 8820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8375, 4.66%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9425 | &nbsp;&nbsp;&nbsp;&nbsp; 9700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7921, 4.77%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9144 | &nbsp;&nbsp;&nbsp;&nbsp; 9430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0423, 4.31%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 38469 | &nbsp;&nbsp;&nbsp;&nbsp; 38806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0424, 4.31%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 19031 | &nbsp;&nbsp;&nbsp;&nbsp; 19198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8377, 4.66%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1184 | &nbsp;&nbsp;&nbsp;&nbsp; 1219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9557, 5.23%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7554 | &nbsp;&nbsp;&nbsp;&nbsp; 7924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AH9683, 5.00%, 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2035, 1.84%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 33900 | &nbsp;&nbsp;&nbsp;&nbsp; 30250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1829, 2.90%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6679 | &nbsp;&nbsp;&nbsp;&nbsp; 6334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2422, 1.67%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 36050 | &nbsp;&nbsp;&nbsp;&nbsp; 31688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL3298, 2.86%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6857 | &nbsp;&nbsp;&nbsp;&nbsp; 6444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9623, 4.91%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5153 | &nbsp;&nbsp;&nbsp;&nbsp; 5332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4310, 2.35%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10669 | &nbsp;&nbsp;&nbsp;&nbsp; 9748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2625, 2.50%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8858 | &nbsp;&nbsp;&nbsp;&nbsp; 8185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2513, 2.63%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 23152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2211, 3.90%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 47210 | &nbsp;&nbsp;&nbsp;&nbsp; 46655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4338, 1.82%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26665 | &nbsp;&nbsp;&nbsp;&nbsp; 23406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4124, 1.94%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11019 | &nbsp;&nbsp;&nbsp;&nbsp; 9814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4030, 1.96%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19688 | &nbsp;&nbsp;&nbsp;&nbsp; 17462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3869, 2.00%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 36000 | &nbsp;&nbsp;&nbsp;&nbsp; 31946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4650, 2.02%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7541 | &nbsp;&nbsp;&nbsp;&nbsp; 6715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4396, 2.05%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 8871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4200, 2.05%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 34650 | &nbsp;&nbsp;&nbsp;&nbsp; 30728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7037, 1.75%, 3/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 102702 | &nbsp;&nbsp;&nbsp;&nbsp; 89865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL5789, 2.40%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12121 | &nbsp;&nbsp;&nbsp;&nbsp; 11010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5204, 2.50%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6186 | &nbsp;&nbsp;&nbsp;&nbsp; 5636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5130, 2.55%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 45749 | &nbsp;&nbsp;&nbsp;&nbsp; 41893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5069, 2.73%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp; 2269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN5065, 3.34%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26680 | &nbsp;&nbsp;&nbsp;&nbsp; 25568 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # BS5330, 2.85%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14317 | &nbsp;&nbsp;&nbsp;&nbsp; 13260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5298, 3.07%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 36743 | &nbsp;&nbsp;&nbsp;&nbsp; 34461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5907, 3.54%, 6/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10756 | &nbsp;&nbsp;&nbsp;&nbsp; 10336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6033, 3.97%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2081 | &nbsp;&nbsp;&nbsp;&nbsp; 2050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6301, 3.67%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19145 | &nbsp;&nbsp;&nbsp;&nbsp; 18518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6258, 3.70%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3310 | &nbsp;&nbsp;&nbsp;&nbsp; 3217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6409, 3.88%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2206 | &nbsp;&nbsp;&nbsp;&nbsp; 2154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6288, 3.89%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11011 | &nbsp;&nbsp;&nbsp;&nbsp; 10812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6597, 3.67%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13781 | &nbsp;&nbsp;&nbsp;&nbsp; 13254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6305, 3.68%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 54320 | &nbsp;&nbsp;&nbsp;&nbsp; 52701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6316, 3.76%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6339, 3.80%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 65061 | &nbsp;&nbsp;&nbsp;&nbsp; 63474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6381, 3.89%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 22000 | &nbsp;&nbsp;&nbsp;&nbsp; 21516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6159, 3.92%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6466, 1.33%, 10/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 105286 | &nbsp;&nbsp;&nbsp;&nbsp; 88147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6845, 4.22%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 43000 | &nbsp;&nbsp;&nbsp;&nbsp; 42959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6915, 4.60%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 36000 | &nbsp;&nbsp;&nbsp;&nbsp; 36600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8968, 4.73%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 15496 | &nbsp;&nbsp;&nbsp;&nbsp; 15864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6492, 1.51%, 11/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44604 | &nbsp;&nbsp;&nbsp;&nbsp; 37775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7110, 3.88%, 11/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27390 | &nbsp;&nbsp;&nbsp;&nbsp; 26847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6840, 4.18%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8255 | &nbsp;&nbsp;&nbsp;&nbsp; 8227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6841, 4.18%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11615 | &nbsp;&nbsp;&nbsp;&nbsp; 11566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6995, 4.18%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19825 | &nbsp;&nbsp;&nbsp;&nbsp; 19778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6868, 4.61%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7463 | &nbsp;&nbsp;&nbsp;&nbsp; 7648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9560, 5.30%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp; 4534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ7084, 3.50%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 661 | &nbsp;&nbsp;&nbsp;&nbsp; 647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7083, 4.59%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 34142 | &nbsp;&nbsp;&nbsp;&nbsp; 34954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7019, 4.60%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 33325 | &nbsp;&nbsp;&nbsp;&nbsp; 34028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7298, 4.86%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7320, 4.88%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14287 | &nbsp;&nbsp;&nbsp;&nbsp; 14802 |
| &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; 10671 | &nbsp;&nbsp;&nbsp;&nbsp; 11308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6552, 1.56%, 1/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 98639 | &nbsp;&nbsp;&nbsp;&nbsp; 83636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7496, 4.33%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12054 | &nbsp;&nbsp;&nbsp;&nbsp; 12105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7558, 4.40%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 15134 | &nbsp;&nbsp;&nbsp;&nbsp; 15262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7595, 4.46%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9381 | &nbsp;&nbsp;&nbsp;&nbsp; 9498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7147, 4.95%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10746 | &nbsp;&nbsp;&nbsp;&nbsp; 11140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR7484, 3.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1223 | &nbsp;&nbsp;&nbsp;&nbsp; 1207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7843, 3.90%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp; 58665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7775, 4.14%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8725 | &nbsp;&nbsp;&nbsp;&nbsp; 8650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8110, 4.30%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 44672 | &nbsp;&nbsp;&nbsp;&nbsp; 44494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7786, 4.24%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 38198 | &nbsp;&nbsp;&nbsp;&nbsp; 38040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8223, 4.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6368 | &nbsp;&nbsp;&nbsp;&nbsp; 6458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8055, 4.71%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14699 | &nbsp;&nbsp;&nbsp;&nbsp; 15056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8185, 4.17%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13528 | &nbsp;&nbsp;&nbsp;&nbsp; 13456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8213, 4.22%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 17966 | &nbsp;&nbsp;&nbsp;&nbsp; 17940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8546, 4.37%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 32295 | &nbsp;&nbsp;&nbsp;&nbsp; 32463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8284, 4.43%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8651 | &nbsp;&nbsp;&nbsp;&nbsp; 8733 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # BS8610, 4.48%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4615 | &nbsp;&nbsp;&nbsp;&nbsp; 4673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8247, 4.53%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3900 | &nbsp;&nbsp;&nbsp;&nbsp; 3961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8609, 4.53%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6149 | &nbsp;&nbsp;&nbsp;&nbsp; 6246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT7117, 3.50%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8756, 4.14%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 18345 | &nbsp;&nbsp;&nbsp;&nbsp; 18177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8644, 4.32%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 22338 | &nbsp;&nbsp;&nbsp;&nbsp; 22405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8661, 4.34%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4663 | &nbsp;&nbsp;&nbsp;&nbsp; 4694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8665, 4.34%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5025 | &nbsp;&nbsp;&nbsp;&nbsp; 5043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8571, 4.43%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6239 | &nbsp;&nbsp;&nbsp;&nbsp; 6309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6000, 3.21%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9181 | &nbsp;&nbsp;&nbsp;&nbsp; 8612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9695, 3.67%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 32550 | &nbsp;&nbsp;&nbsp;&nbsp; 31325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9496, 3.75%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 24000 | &nbsp;&nbsp;&nbsp;&nbsp; 23309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9950, 3.89%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8410 | &nbsp;&nbsp;&nbsp;&nbsp; 8152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9089, 4.51%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 31800 | &nbsp;&nbsp;&nbsp;&nbsp; 32312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8883, 4.58%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 35052 | &nbsp;&nbsp;&nbsp;&nbsp; 35465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2642, 1.85%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9182 | &nbsp;&nbsp;&nbsp;&nbsp; 7832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3169, 1.82%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6842 | &nbsp;&nbsp;&nbsp;&nbsp; 5767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2496, 1.88%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7883 | &nbsp;&nbsp;&nbsp;&nbsp; 6661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9470, 4.45%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 17758 | &nbsp;&nbsp;&nbsp;&nbsp; 17984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9471, 4.45%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 16368 | &nbsp;&nbsp;&nbsp;&nbsp; 16576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9185, 4.51%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 26043 | &nbsp;&nbsp;&nbsp;&nbsp; 26385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9182, 4.52%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 29035 | &nbsp;&nbsp;&nbsp;&nbsp; 29541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3315, 1.82%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10924 | &nbsp;&nbsp;&nbsp;&nbsp; 9122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0419, 4.25%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp; 20890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4824, 2.50%, 2/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 60280 | &nbsp;&nbsp;&nbsp;&nbsp; 52718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0430, 4.32%, 2/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 40102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810997, 5.50%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7122, 3.61%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 4706 | &nbsp;&nbsp;&nbsp;&nbsp; 4506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL5976, 2.49%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 22962 | &nbsp;&nbsp;&nbsp;&nbsp; 19671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8474, 3.45%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4256 | &nbsp;&nbsp;&nbsp;&nbsp; 4021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8475, 3.45%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1726 | &nbsp;&nbsp;&nbsp;&nbsp; 1631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6315, 2.20%, 5/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5081 | &nbsp;&nbsp;&nbsp;&nbsp; 4249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9188, 3.12%, 6/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 22850 | &nbsp;&nbsp;&nbsp;&nbsp; 20850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL7110, 1.76%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 12424 | &nbsp;&nbsp;&nbsp;&nbsp; 10137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9532, 3.63%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3241 | &nbsp;&nbsp;&nbsp;&nbsp; 3092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5413, 3.41%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10250 | &nbsp;&nbsp;&nbsp;&nbsp; 9345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0375, 3.76%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5116 | &nbsp;&nbsp;&nbsp;&nbsp; 4920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256051, 5.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256128, 6.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 880219, 7.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920934, 6.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888408, 6.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888373, 7.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888412, 7.00%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5648, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 10561 | &nbsp;&nbsp;&nbsp;&nbsp; 9903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5650, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 14180 | &nbsp;&nbsp;&nbsp;&nbsp; 13357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5761, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 10964 | &nbsp;&nbsp;&nbsp;&nbsp; 10328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995783, 8.00%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # 257209, 5.50%, 5/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0127, 5.50%, 6/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2606, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7225, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1152 | &nbsp;&nbsp;&nbsp;&nbsp; 1129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9352, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp;&nbsp;&nbsp; 1416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9353, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1712 | &nbsp;&nbsp;&nbsp;&nbsp; 1675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1125, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 953 | &nbsp;&nbsp;&nbsp;&nbsp; 934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1178, 4.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 5439 | &nbsp;&nbsp;&nbsp;&nbsp; 5331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1213, 3.50%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2476 | &nbsp;&nbsp;&nbsp;&nbsp; 2365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1251, 3.50%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6304 | &nbsp;&nbsp;&nbsp;&nbsp; 6021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1253, 4.00%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR1397, 3.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5072 | &nbsp;&nbsp;&nbsp;&nbsp; 4709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1328, 3.50%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 913 | &nbsp;&nbsp;&nbsp;&nbsp; 872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9999, 3.00%, 2/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2317 | &nbsp;&nbsp;&nbsp;&nbsp; 2151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1373, 3.50%, 3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1535 | &nbsp;&nbsp;&nbsp;&nbsp; 1466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1404, 3.50%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 4459 | &nbsp;&nbsp;&nbsp;&nbsp; 4259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9096, 4.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 483 | &nbsp;&nbsp;&nbsp;&nbsp; 473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9196, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1207 | &nbsp;&nbsp;&nbsp;&nbsp; 1153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT4051, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 539 | &nbsp;&nbsp;&nbsp;&nbsp; 515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1437, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 4906 | &nbsp;&nbsp;&nbsp;&nbsp; 4686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT5914, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3051 | &nbsp;&nbsp;&nbsp;&nbsp; 2915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1463, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6136 | &nbsp;&nbsp;&nbsp;&nbsp; 5831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9704, 4.00%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1029 | &nbsp;&nbsp;&nbsp;&nbsp; 998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1711, 4.50%, 12/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6799 | &nbsp;&nbsp;&nbsp;&nbsp; 6826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6167, 3.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3272 | &nbsp;&nbsp;&nbsp;&nbsp; 3125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1759, 4.00%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2193 | &nbsp;&nbsp;&nbsp;&nbsp; 2144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1760, 4.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2022 | &nbsp;&nbsp;&nbsp;&nbsp; 2030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AV9286, 4.00%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1762 | &nbsp;&nbsp;&nbsp;&nbsp; 1723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1800, 4.00%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1369 | &nbsp;&nbsp;&nbsp;&nbsp; 1338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1828, 4.50%, 3/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 5285 | &nbsp;&nbsp;&nbsp;&nbsp; 5305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2429, 4.00%, 10/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1562 | &nbsp;&nbsp;&nbsp;&nbsp; 1516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2565, 4.00%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2284 | &nbsp;&nbsp;&nbsp;&nbsp; 2216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5835, 3.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 7851 | &nbsp;&nbsp;&nbsp;&nbsp; 7191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0523, 6.00%, 11/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0131, 3.50%, 8/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 34943 | &nbsp;&nbsp;&nbsp;&nbsp; 32247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0144, 3.50%, 10/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 2243 | &nbsp;&nbsp;&nbsp;&nbsp; 2064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0690, 3.00%, 2/1/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 7828 | &nbsp;&nbsp;&nbsp;&nbsp; 7145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0230, 5.50%, 1/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 34134 | &nbsp;&nbsp;&nbsp;&nbsp; 35644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0341, 5.50%, 1/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 14666 | &nbsp;&nbsp;&nbsp;&nbsp; 15062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7076, 4.00%, 4/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 38073 | &nbsp;&nbsp;&nbsp;&nbsp; 36461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0396, 2.50%, 8/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 25709 | &nbsp;&nbsp;&nbsp;&nbsp; 21761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6734, 4.00%, 8/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 26755 | &nbsp;&nbsp;&nbsp;&nbsp; 25491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0464, 3.50%, 3/1/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 40145 | &nbsp;&nbsp;&nbsp;&nbsp; 36847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0520, 3.00%, 1/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 52270 | &nbsp;&nbsp;&nbsp;&nbsp; 46181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7075, 3.00%, 3/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 58632 | &nbsp;&nbsp;&nbsp;&nbsp; 51802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0546, 2.50%, 7/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 65285 | &nbsp;&nbsp;&nbsp;&nbsp; 54108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0562, 3.50%, 9/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 48200 | &nbsp;&nbsp;&nbsp;&nbsp; 43817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0577, 2.50%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 10919 | &nbsp;&nbsp;&nbsp;&nbsp; 9212 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # BF0590, 2.50%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 15670 | &nbsp;&nbsp;&nbsp;&nbsp; 12987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0579, 3.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 18385 | &nbsp;&nbsp;&nbsp;&nbsp; 15948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0583, 4.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 25680 | &nbsp;&nbsp;&nbsp;&nbsp; 24290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0586, 5.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 10977 | &nbsp;&nbsp;&nbsp;&nbsp; 11008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0617, 2.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 74221 | &nbsp;&nbsp;&nbsp;&nbsp; 61514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0602, 3.00%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 26944 | &nbsp;&nbsp;&nbsp;&nbsp; 23371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0603, 3.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 18356 | &nbsp;&nbsp;&nbsp;&nbsp; 16829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0604, 3.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 28723 | &nbsp;&nbsp;&nbsp;&nbsp; 26111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0605, 4.00%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 14731 | &nbsp;&nbsp;&nbsp;&nbsp; 13870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0674, 2.50%, 4/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 59878 | &nbsp;&nbsp;&nbsp;&nbsp; 49626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0759, 2.50%, 5/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 55869 | &nbsp;&nbsp;&nbsp;&nbsp; 46304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0673, 2.50%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 39926 | &nbsp;&nbsp;&nbsp;&nbsp; 33091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0654, 3.00%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 31193 | &nbsp;&nbsp;&nbsp;&nbsp; 27057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0648, 3.50%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 20101 | &nbsp;&nbsp;&nbsp;&nbsp; 18429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0655, 3.50%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 39002 | &nbsp;&nbsp;&nbsp;&nbsp; 35456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0649, 4.00%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 18457 | &nbsp;&nbsp;&nbsp;&nbsp; 17653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0677, 4.00%, 9/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 40139 | &nbsp;&nbsp;&nbsp;&nbsp; 37967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0701, 3.50%, 12/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 15360 | &nbsp;&nbsp;&nbsp;&nbsp; 13963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0733, 3.00%, 6/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 28391 | &nbsp;&nbsp;&nbsp;&nbsp; 24627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0764, 3.50%, 9/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 22353 | &nbsp;&nbsp;&nbsp;&nbsp; 20403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0767, 4.00%, 9/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 45890 | &nbsp;&nbsp;&nbsp;&nbsp; 43407 |
| &nbsp;&nbsp;&nbsp; FNMA/FHLMC UMBS, Single Family, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 2.50%, 12/25/2055 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 338195 | &nbsp;&nbsp;&nbsp;&nbsp; 287690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 4.00%, 12/25/2055 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 22300 | &nbsp;&nbsp;&nbsp;&nbsp; 21237 |
| &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; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468236, 6.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &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; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 569568, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591882, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607645, 6.50%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607724, 7.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783123, 5.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 882 | &nbsp;&nbsp;&nbsp;&nbsp; 914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 604209, 6.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &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; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781689, 5.50%, 12/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 632415, 5.50%, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 574710, 5.50%, 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782615, 7.00%, 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782025, 6.50%, 12/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 617486, 7.00%, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782212, 7.50%, 10/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6868, 5.00%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1847 | &nbsp;&nbsp;&nbsp;&nbsp; 1882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1726, 5.00%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1450 | &nbsp;&nbsp;&nbsp;&nbsp; 1477 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # CO1894, 4.50%, 7/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6947 | &nbsp;&nbsp;&nbsp;&nbsp; 7052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU0289, 6.50%, 6/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9834 | &nbsp;&nbsp;&nbsp;&nbsp; 10156 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5521, ARM, 5.38%, 8/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12125 | &nbsp;&nbsp;&nbsp;&nbsp; 12686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5523, ARM, 5.44%, 8/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16738 | &nbsp;&nbsp;&nbsp;&nbsp; 17494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9356, ARM, 5.19%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7987 | &nbsp;&nbsp;&nbsp;&nbsp; 8277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5537, ARM, 5.41%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 33186 | &nbsp;&nbsp;&nbsp;&nbsp; 34793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5533, ARM, 5.42%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38336 | &nbsp;&nbsp;&nbsp;&nbsp; 40134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5536, ARM, 5.45%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30866 | &nbsp;&nbsp;&nbsp;&nbsp; 32385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5544, ARM, 5.36%, 10/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36259 | &nbsp;&nbsp;&nbsp;&nbsp; 37943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5550, ARM, 5.39%, 10/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18235 | &nbsp;&nbsp;&nbsp;&nbsp; 19087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5552, ARM, 5.38%, 11/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36541 | &nbsp;&nbsp;&nbsp;&nbsp; 38258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2783, ARM, 5.34%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 87229 | &nbsp;&nbsp;&nbsp;&nbsp; 91281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2789, ARM, 5.36%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 31291 | &nbsp;&nbsp;&nbsp;&nbsp; 32763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0227, ARM, 5.37%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29714 | &nbsp;&nbsp;&nbsp;&nbsp; 31107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0228, ARM, 5.59%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19906 | &nbsp;&nbsp;&nbsp;&nbsp; 20978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL8129, ARM, 5.26%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19792 | &nbsp;&nbsp;&nbsp;&nbsp; 20655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2802, ARM, 5.29%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27577 | &nbsp;&nbsp;&nbsp;&nbsp; 28829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0234, ARM, 5.31%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30106 | &nbsp;&nbsp;&nbsp;&nbsp; 31494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2800, ARM, 5.33%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22883 | &nbsp;&nbsp;&nbsp;&nbsp; 23961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM9946, ARM, 5.34%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18019 | &nbsp;&nbsp;&nbsp;&nbsp; 18861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2794, ARM, 5.35%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43923 | &nbsp;&nbsp;&nbsp;&nbsp; 46008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2791, ARM, 5.36%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42928 | &nbsp;&nbsp;&nbsp;&nbsp; 44973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2793, ARM, 5.36%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42122 | &nbsp;&nbsp;&nbsp;&nbsp; 44090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2803, ARM, 5.31%, 4/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43624 | &nbsp;&nbsp;&nbsp;&nbsp; 45666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL8377, ARM, 5.38%, 4/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37133 | &nbsp;&nbsp;&nbsp;&nbsp; 39025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN0126, ARM, 5.35%, 5/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34869 | &nbsp;&nbsp;&nbsp;&nbsp; 36529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN7634, ARM, 5.41%, 6/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27320 | &nbsp;&nbsp;&nbsp;&nbsp; 28761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786250, ARM, 5.53%, 6/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38872 | &nbsp;&nbsp;&nbsp;&nbsp; 41127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL8191, ARM, 5.50%, 7/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22717 | &nbsp;&nbsp;&nbsp;&nbsp; 23997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO0363, ARM, 5.54%, 7/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28939 | &nbsp;&nbsp;&nbsp;&nbsp; 30648 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2234, 8.00%, 6/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2270, 8.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &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; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &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; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2781, 6.50%, 7/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4224, 7.00%, 8/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1244 | &nbsp;&nbsp;&nbsp;&nbsp; 1336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783389, 6.00%, 8/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 483 | &nbsp;&nbsp;&nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783444, 5.50%, 9/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp; 317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783967, 4.25%, 12/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3237 | &nbsp;&nbsp;&nbsp;&nbsp; 3092 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # AK8791, 3.75%, 7/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1084 | &nbsp;&nbsp;&nbsp;&nbsp; 1018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0481, 4.00%, 12/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1026 | &nbsp;&nbsp;&nbsp;&nbsp; 978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0484, 4.50%, 12/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4472 | &nbsp;&nbsp;&nbsp;&nbsp; 4382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE0207, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3094 | &nbsp;&nbsp;&nbsp;&nbsp; 3044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE0208, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4523 | &nbsp;&nbsp;&nbsp;&nbsp; 4453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE5169, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4760 | &nbsp;&nbsp;&nbsp;&nbsp; 4691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BA7567, 4.50%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1365 | &nbsp;&nbsp;&nbsp;&nbsp; 1332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG6360, 5.00%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5258 | &nbsp;&nbsp;&nbsp;&nbsp; 5408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF2574, 5.50%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0728, 5.00%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6356 | &nbsp;&nbsp;&nbsp;&nbsp; 6508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0551, 4.50%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1578 | &nbsp;&nbsp;&nbsp;&nbsp; 1562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI5288, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 7912 | &nbsp;&nbsp;&nbsp;&nbsp; 8056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI5289, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 11289 | &nbsp;&nbsp;&nbsp;&nbsp; 11557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2411, 4.25%, 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2985 | &nbsp;&nbsp;&nbsp;&nbsp; 2885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784598, 5.00%, 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8616 | &nbsp;&nbsp;&nbsp;&nbsp; 8818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784626, 4.50%, 10/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1192 | &nbsp;&nbsp;&nbsp;&nbsp; 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2586, 5.00%, 11/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1224 | &nbsp;&nbsp;&nbsp;&nbsp; 1240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7082, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 488 | &nbsp;&nbsp;&nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7085, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 941 | &nbsp;&nbsp;&nbsp;&nbsp; 963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7169, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4427 | &nbsp;&nbsp;&nbsp;&nbsp; 4482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8878, 4.50%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7189, 5.00%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4814 | &nbsp;&nbsp;&nbsp;&nbsp; 4892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9972, 5.50%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1139 | &nbsp;&nbsp;&nbsp;&nbsp; 1167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7198, 4.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2111 | &nbsp;&nbsp;&nbsp;&nbsp; 2068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7199, 5.00%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 696 | &nbsp;&nbsp;&nbsp;&nbsp; 709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL8042, 5.00%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4521 | &nbsp;&nbsp;&nbsp;&nbsp; 4609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9333, 5.00%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2539 | &nbsp;&nbsp;&nbsp;&nbsp; 2614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG0079, 5.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 792 | &nbsp;&nbsp;&nbsp;&nbsp; 812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6756, 5.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1322, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3948 | &nbsp;&nbsp;&nbsp;&nbsp; 4092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9622, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1446 | &nbsp;&nbsp;&nbsp;&nbsp; 1461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7209, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3292 | &nbsp;&nbsp;&nbsp;&nbsp; 3354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6758, 5.50%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 632 | &nbsp;&nbsp;&nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9664, 4.50%, 5/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5106 | &nbsp;&nbsp;&nbsp;&nbsp; 5086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9683, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 11257 | &nbsp;&nbsp;&nbsp;&nbsp; 11481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2880, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 413 | &nbsp;&nbsp;&nbsp;&nbsp; 416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN3950, 5.50%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1683 | &nbsp;&nbsp;&nbsp;&nbsp; 1725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2629, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8985 | &nbsp;&nbsp;&nbsp;&nbsp; 8745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0926, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp; 778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0927, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 578 | &nbsp;&nbsp;&nbsp;&nbsp; 580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2186, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2187, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2871, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2872, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 760 | &nbsp;&nbsp;&nbsp;&nbsp; 774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2878, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 597 | &nbsp;&nbsp;&nbsp;&nbsp; 603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2879, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3162, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 38438 | &nbsp;&nbsp;&nbsp;&nbsp; 40280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3173, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 726 | &nbsp;&nbsp;&nbsp;&nbsp; 733 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # BO3174, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 345 | &nbsp;&nbsp;&nbsp;&nbsp; 347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8226, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8229, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4031 | &nbsp;&nbsp;&nbsp;&nbsp; 4157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8235, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 619 | &nbsp;&nbsp;&nbsp;&nbsp; 623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8236, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp;&nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4243, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9498 | &nbsp;&nbsp;&nbsp;&nbsp; 9722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2649, 3.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2284 | &nbsp;&nbsp;&nbsp;&nbsp; 2112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9713, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1696 | &nbsp;&nbsp;&nbsp;&nbsp; 1665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4337, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 12689 | &nbsp;&nbsp;&nbsp;&nbsp; 12748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3224, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 11790 | &nbsp;&nbsp;&nbsp;&nbsp; 11616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784810, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 10363 | &nbsp;&nbsp;&nbsp;&nbsp; 10372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9734, 4.00%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2689 | &nbsp;&nbsp;&nbsp;&nbsp; 2574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784847, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17156 | &nbsp;&nbsp;&nbsp;&nbsp; 16786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ8694, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp; 530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ8696, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 619 | &nbsp;&nbsp;&nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2686, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1753 | &nbsp;&nbsp;&nbsp;&nbsp; 1730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2687, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3828 | &nbsp;&nbsp;&nbsp;&nbsp; 3805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2688, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2099 | &nbsp;&nbsp;&nbsp;&nbsp; 2077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2689, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2666 | &nbsp;&nbsp;&nbsp;&nbsp; 2672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2739, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1326 | &nbsp;&nbsp;&nbsp;&nbsp; 1336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2756, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1854 | &nbsp;&nbsp;&nbsp;&nbsp; 1855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2757, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1892 | &nbsp;&nbsp;&nbsp;&nbsp; 1885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3820, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3821, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0953, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1656 | &nbsp;&nbsp;&nbsp;&nbsp; 1670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4131, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9886 | &nbsp;&nbsp;&nbsp;&nbsp; 9214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0940, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp;&nbsp;&nbsp; 587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3796, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1674 | &nbsp;&nbsp;&nbsp;&nbsp; 1673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2730, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2731, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 669 | &nbsp;&nbsp;&nbsp;&nbsp; 664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2732, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 985 | &nbsp;&nbsp;&nbsp;&nbsp; 998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2755, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 921 | &nbsp;&nbsp;&nbsp;&nbsp; 909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3822, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 832 | &nbsp;&nbsp;&nbsp;&nbsp; 818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3823, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1138 | &nbsp;&nbsp;&nbsp;&nbsp; 1131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3824, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp;&nbsp;&nbsp; 669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0951, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1657 | &nbsp;&nbsp;&nbsp;&nbsp; 1643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0952, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1268 | &nbsp;&nbsp;&nbsp;&nbsp; 1268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4132, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4724 | &nbsp;&nbsp;&nbsp;&nbsp; 4368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4133, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4299 | &nbsp;&nbsp;&nbsp;&nbsp; 3996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR1548, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3717 | &nbsp;&nbsp;&nbsp;&nbsp; 3550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8380, 4.50%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2632 | &nbsp;&nbsp;&nbsp;&nbsp; 2687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8085, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3683 | &nbsp;&nbsp;&nbsp;&nbsp; 3324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3892, 4.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8334 | &nbsp;&nbsp;&nbsp;&nbsp; 7905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8094, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 768 | &nbsp;&nbsp;&nbsp;&nbsp; 733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8095, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4726 | &nbsp;&nbsp;&nbsp;&nbsp; 4506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8096, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6825 | &nbsp;&nbsp;&nbsp;&nbsp; 6503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8097, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6634 | &nbsp;&nbsp;&nbsp;&nbsp; 6379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8098, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8205 | &nbsp;&nbsp;&nbsp;&nbsp; 7920 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 # BT8099, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6223 | &nbsp;&nbsp;&nbsp;&nbsp; 6020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7042, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 16831 | &nbsp;&nbsp;&nbsp;&nbsp; 15438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785294, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 45699 | &nbsp;&nbsp;&nbsp;&nbsp; 41354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7534, 2.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 203483 | &nbsp;&nbsp;&nbsp;&nbsp; 176671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7649, 2.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 29928 | &nbsp;&nbsp;&nbsp;&nbsp; 25985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH9031, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 19228 | &nbsp;&nbsp;&nbsp;&nbsp; 17637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7706, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 36385 | &nbsp;&nbsp;&nbsp;&nbsp; 32856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787205, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 70650 | &nbsp;&nbsp;&nbsp;&nbsp; 65178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI9257, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 22835 | &nbsp;&nbsp;&nbsp;&nbsp; 20946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK1527, 3.50%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6932 | &nbsp;&nbsp;&nbsp;&nbsp; 6393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK1600, 4.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14098 | &nbsp;&nbsp;&nbsp;&nbsp; 13426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK7137, 4.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 23928 | &nbsp;&nbsp;&nbsp;&nbsp; 22404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786362, 3.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 33417 | &nbsp;&nbsp;&nbsp;&nbsp; 29726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2553, 4.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17501 | &nbsp;&nbsp;&nbsp;&nbsp; 16386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7936, 2.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 51192 | &nbsp;&nbsp;&nbsp;&nbsp; 44446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2213, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7356 | &nbsp;&nbsp;&nbsp;&nbsp; 6639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787457, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 21781 | &nbsp;&nbsp;&nbsp;&nbsp; 21074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2574, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10373 | &nbsp;&nbsp;&nbsp;&nbsp; 9712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2575, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5354 | &nbsp;&nbsp;&nbsp;&nbsp; 5078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787010, 3.50%, 4/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 28454 | &nbsp;&nbsp;&nbsp;&nbsp; 26309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM1194, 4.00%, 4/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12720 | &nbsp;&nbsp;&nbsp;&nbsp; 11909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8148, 3.00%, 7/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 175155 | &nbsp;&nbsp;&nbsp;&nbsp; 158082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8200, 4.00%, 8/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 128139 | &nbsp;&nbsp;&nbsp;&nbsp; 122707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8423, 2.50%, 11/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 35042 | &nbsp;&nbsp;&nbsp;&nbsp; 30474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO8957, 5.00%, 12/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 15819 | &nbsp;&nbsp;&nbsp;&nbsp; 15691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8565, 3.00%, 1/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 30399 | &nbsp;&nbsp;&nbsp;&nbsp; 27474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8721, 3.00%, 3/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 105642 | &nbsp;&nbsp;&nbsp;&nbsp; 95695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8796, 3.00%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 42080 | &nbsp;&nbsp;&nbsp;&nbsp; 38292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786842, 4.00%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 79513 | &nbsp;&nbsp;&nbsp;&nbsp; 74581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4305, 5.50%, 6/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 29563 | &nbsp;&nbsp;&nbsp;&nbsp; 30054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4391, 5.50%, 7/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 35493 | &nbsp;&nbsp;&nbsp;&nbsp; 36083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9166, 3.00%, 9/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 17364 | &nbsp;&nbsp;&nbsp;&nbsp; 15693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9600, 3.00%, 4/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 15274 | &nbsp;&nbsp;&nbsp;&nbsp; 13808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DL3307, 6.50%, 8/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 28245 | &nbsp;&nbsp;&nbsp;&nbsp; 29442 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0858, 3.75%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 403 | &nbsp;&nbsp;&nbsp;&nbsp; 384 |
| &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; 825 | &nbsp;&nbsp;&nbsp;&nbsp; 778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787496, 6.00%, 7/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 36173 | &nbsp;&nbsp;&nbsp;&nbsp; 36913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784879, 4.09%, 11/20/2069 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11941 | &nbsp;&nbsp;&nbsp;&nbsp; 11531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785137, 3.08%, 8/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16168 | &nbsp;&nbsp;&nbsp;&nbsp; 14741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785183, 2.94%, 10/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 31765 | &nbsp;&nbsp;&nbsp;&nbsp; 28986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785863, 3.10%, 12/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11921 | &nbsp;&nbsp;&nbsp;&nbsp; 10867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786556, 4.65%, 1/20/2073 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39044 | &nbsp;&nbsp;&nbsp;&nbsp; 38576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $11,486,955)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 11345363 |
| **Asset-Backed Securities — 10.9%** | **Asset-Backed Securities — 10.9%** | **Asset-Backed Securities — 10.9%** |
| &nbsp;&nbsp;&nbsp; Academic Loan Funding Trust Series 2013-1A, Class A, 4.99%, 12/26/2044 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 925 | &nbsp;&nbsp;&nbsp;&nbsp; 910 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; Accelerated Assets LLC Series 2018-1, Class A, 3.87%, 12/2/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1534 | &nbsp;&nbsp;&nbsp;&nbsp; 1519 |
| &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; 2893 | &nbsp;&nbsp;&nbsp;&nbsp; 2856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5520 | &nbsp;&nbsp;&nbsp;&nbsp; 5279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class A, 3.55%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5320 | &nbsp;&nbsp;&nbsp;&nbsp; 5049 |
| &nbsp;&nbsp;&nbsp; Alternative LN Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 11/15/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 32327 | &nbsp;&nbsp;&nbsp;&nbsp; 32327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.33%, 11/15/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 7168 | &nbsp;&nbsp;&nbsp;&nbsp; 7168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.82%, 11/15/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 14836 | &nbsp;&nbsp;&nbsp;&nbsp; 14836 |
| &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; 5682 | &nbsp;&nbsp;&nbsp;&nbsp; 5653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, 4.00%, 9/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 14606 | &nbsp;&nbsp;&nbsp;&nbsp; 14324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class A, 3.65%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4249 | &nbsp;&nbsp;&nbsp;&nbsp; 4142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3, Class AA, 3.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6711 | &nbsp;&nbsp;&nbsp;&nbsp; 6480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2, Class A, 3.60%, 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6636 | &nbsp;&nbsp;&nbsp;&nbsp; 6327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B, 3.95%, 7/11/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8819 | &nbsp;&nbsp;&nbsp;&nbsp; 8512 |
| &nbsp;&nbsp;&nbsp; American Credit Acceptance Receivables Trust Series 2023-4, Class C, 6.99%, 9/12/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9468 | &nbsp;&nbsp;&nbsp;&nbsp; 9545 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &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; 27652 |
| &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; 21599 |
| &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; 21542 |
| &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; 11669 |
| &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; 11423 |
| &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; 11407 |
| &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; 1734 | &nbsp;&nbsp;&nbsp;&nbsp; 1695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class B, 2.79%, 7/17/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1931 | &nbsp;&nbsp;&nbsp;&nbsp; 1854 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC Series 2024-1A, Class A, 5.36%, 6/20/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22973 | &nbsp;&nbsp;&nbsp;&nbsp; 23720 |
| &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; 50721 | &nbsp;&nbsp;&nbsp;&nbsp; 51138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.80%, 10/25/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 12996 | &nbsp;&nbsp;&nbsp;&nbsp; 13061 |
| &nbsp;&nbsp;&nbsp; BG Beta Ltd. (Cayman Islands), 6.28%, 7/16/2054 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 60450 | &nbsp;&nbsp;&nbsp;&nbsp; 62125 |
| &nbsp;&nbsp;&nbsp; Bridge Trust Series 2024-SFR1, Class A, 4.00%, 8/17/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 52507 | &nbsp;&nbsp;&nbsp;&nbsp; 51269 |
| &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; 19975 |
| &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; 23901 |
| &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; 10920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4, Class C, 4.80%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 16570 | &nbsp;&nbsp;&nbsp;&nbsp; 16619 |
| &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; 4386 | &nbsp;&nbsp;&nbsp;&nbsp; 4318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 4.13%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7076 | &nbsp;&nbsp;&nbsp;&nbsp; 6852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 3.30%, 12/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6993 | &nbsp;&nbsp;&nbsp;&nbsp; 6659 |
| &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; 37756 | &nbsp;&nbsp;&nbsp;&nbsp; 37517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.36%, 9/15/2039 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29154 | &nbsp;&nbsp;&nbsp;&nbsp; 29436 |
| &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; 1923 | &nbsp;&nbsp;&nbsp;&nbsp; 1963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class B, 6.31%, 11/15/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13220 | &nbsp;&nbsp;&nbsp;&nbsp; 13514 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14982 | &nbsp;&nbsp;&nbsp;&nbsp; 14424 |
| &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; 5622 | &nbsp;&nbsp;&nbsp;&nbsp; 5506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A6, 3.81%, 2/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5866 | &nbsp;&nbsp;&nbsp;&nbsp; 5571 |
| &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; 7374 | &nbsp;&nbsp;&nbsp;&nbsp; 7353 |
| &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; 17056 |
| &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; 17690 |
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust Series 2022-MH1, Class A, 4.25%, 8/25/2054 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 32199 | &nbsp;&nbsp;&nbsp;&nbsp; 31474 |
| &nbsp;&nbsp;&nbsp; CFIN Issuer LLC Series 2022-RTL1, Class AA, 4.75%, 2/16/2026 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 11869 | &nbsp;&nbsp;&nbsp;&nbsp; 11816 |
| &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; 404 | &nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-6, Class 1A5, 4.85%, 11/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-6, Class 1A7, 4.85%, 11/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 843 | &nbsp;&nbsp;&nbsp;&nbsp; 839 |
| &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; 1061 |
| &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; 49965 | &nbsp;&nbsp;&nbsp;&nbsp; 50069 |
| &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; 42457 |
| &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; 7090 |
| &nbsp;&nbsp;&nbsp; COOF Securitization Trust Ltd. Series 2014-1, Class A, 3.51%, 6/25/2040 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1142 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &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; 3265 | &nbsp;&nbsp;&nbsp;&nbsp; 3185 |
| &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; 5376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class A, 2.71%, 10/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2570 | &nbsp;&nbsp;&nbsp;&nbsp; 2564 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6764 | &nbsp;&nbsp;&nbsp;&nbsp; 6820 |
| &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; 20166 | &nbsp;&nbsp;&nbsp;&nbsp; 20180 |
| &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; 50703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A, 5.92%, 5/16/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18182 | &nbsp;&nbsp;&nbsp;&nbsp; 18220 |
| &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; 5142 |
| &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; 33677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 6.39%, 8/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20101 | &nbsp;&nbsp;&nbsp;&nbsp; 20213 |
| &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; 44291 |
| &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; 8080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 65094 | &nbsp;&nbsp;&nbsp;&nbsp; 65504 |
| &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; 35781 |
| &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; 12173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.30%, 6/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 27013 | &nbsp;&nbsp;&nbsp;&nbsp; 27621 |
| &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; 40878 |
| &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; 19335 |
| &nbsp;&nbsp;&nbsp; Credit One, 6.47%, 2/25/2029 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 71500 | &nbsp;&nbsp;&nbsp;&nbsp; 72601 |
| &nbsp;&nbsp;&nbsp; Crown Castle Towers LLC, 4.24%, 7/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9972 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.94%, 1/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 501 | &nbsp;&nbsp;&nbsp;&nbsp; 517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.93%, 1/10/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3406 | &nbsp;&nbsp;&nbsp;&nbsp; 3520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014, 4.16%, 8/11/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 923 | &nbsp;&nbsp;&nbsp;&nbsp; 856 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M1, 4.82%, 3/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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, 4.63%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp; 213 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.97%, 10/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp; DailyPay Securitization Trust Series 2025-1A, Class A, 5.63%, 6/26/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp; 21155 |
| &nbsp;&nbsp;&nbsp; Delta Air Lines Pass-Through Trust Series 2020-1, Class AA, 2.00%, 6/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4552 | &nbsp;&nbsp;&nbsp;&nbsp; 4371 |
| &nbsp;&nbsp;&nbsp; Diversified ABS Holdings LLC Series 2024-2A, Class A, 6.56%, 9/30/2044 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 42749 | &nbsp;&nbsp;&nbsp;&nbsp; 43112 |
| &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; 24277 | &nbsp;&nbsp;&nbsp;&nbsp; 24451 |
| &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; 58539 |
| &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; 23114 | &nbsp;&nbsp;&nbsp;&nbsp; 23126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A1, 7.08%, 5/30/2044 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17252 | &nbsp;&nbsp;&nbsp;&nbsp; 17449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 7.67%, 5/30/2044 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18349 | &nbsp;&nbsp;&nbsp;&nbsp; 18552 |
| &nbsp;&nbsp;&nbsp; DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 16717 | &nbsp;&nbsp;&nbsp;&nbsp; 17183 |
| &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; 9316 |
| &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; 2103 | &nbsp;&nbsp;&nbsp;&nbsp; 2108 |
| &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; 47423 |
| &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; 15779 |
| &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; 9518 |
| &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; 10080 |
| &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; 6006 |
| &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; 13584 |
| &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; 28583 |
| &nbsp;&nbsp;&nbsp; Elara Hgv Timeshare Issuer LLC Series 2025-A, Class A, 4.54%, 1/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6938 | &nbsp;&nbsp;&nbsp;&nbsp; 6951 |
| &nbsp;&nbsp;&nbsp; Energy Assets, 8.11%, 8/25/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 19818 | &nbsp;&nbsp;&nbsp;&nbsp; 20355 |
| &nbsp;&nbsp;&nbsp; EQV ABS Issuer LLC, 6.90%, 12/15/2040 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 23967 | &nbsp;&nbsp;&nbsp;&nbsp; 24169 |
| &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; 417 | &nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class C, 5.75%, 7/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15003 | &nbsp;&nbsp;&nbsp;&nbsp; 15068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 6.76%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 36796 | &nbsp;&nbsp;&nbsp;&nbsp; 37210 |
| &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; 21262 |
| &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; 12752 |
| &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; 14258 |
| &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; 7172 |
| &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; 8951 |
| &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; 14597 |
| &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; 26441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class D, 5.23%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 48000 | &nbsp;&nbsp;&nbsp;&nbsp; 48270 |
| &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; 4580 | &nbsp;&nbsp;&nbsp;&nbsp; 4614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.69%, 2/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11805 | &nbsp;&nbsp;&nbsp;&nbsp; 11871 |
| &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; 3043 | &nbsp;&nbsp;&nbsp;&nbsp; 3047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2, 6.57%, 6/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3976 | &nbsp;&nbsp;&nbsp;&nbsp; 3996 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &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; 7095 |
| &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; 6891 |
| &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; 14112 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2021-SFR1, Class E1, 2.39%, 8/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15500 | &nbsp;&nbsp;&nbsp;&nbsp; 15194 |
| &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; 36163 |
| &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; 49106 |
| &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; 56297 |
| &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; 41525 |
| &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; 59096 |
| &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; 110037 |
| &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; 86517 |
| &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; 40278 |
| &nbsp;&nbsp;&nbsp; Fortiva Retail Credit Master Note Business Trust Series 2025-TWO, Class A, 5.92%, 5/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 49535 | &nbsp;&nbsp;&nbsp;&nbsp; 49524 |
| &nbsp;&nbsp;&nbsp; Foundation Finance Trust Series 2023-2A, Class A, 6.53%, 6/15/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23323 | &nbsp;&nbsp;&nbsp;&nbsp; 24362 |
| &nbsp;&nbsp;&nbsp; FW Energy Asset Issuer LLC, 7.15%, 8/25/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 66040 | &nbsp;&nbsp;&nbsp;&nbsp; 67638 |
| &nbsp;&nbsp;&nbsp; GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 6.15%, 4/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15793 | &nbsp;&nbsp;&nbsp;&nbsp; 15914 |
| &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; 9528 |
| &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; 19277 |
| &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; 22216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 4.69%, 5/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5205 | &nbsp;&nbsp;&nbsp;&nbsp; 5220 |
| &nbsp;&nbsp;&nbsp; GLS Auto Select Receivables Trust Series 2023-1A, Class A3, 5.96%, 10/16/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10949 | &nbsp;&nbsp;&nbsp;&nbsp; 11033 |
| &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; 15216 | &nbsp;&nbsp;&nbsp;&nbsp; 13185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.90%, 1/17/2061 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 42410 | &nbsp;&nbsp;&nbsp;&nbsp; 42014 |
| &nbsp;&nbsp;&nbsp; Goodgreen Ltd. Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 59845 | &nbsp;&nbsp;&nbsp;&nbsp; 60354 |
| &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; 6495 | &nbsp;&nbsp;&nbsp;&nbsp; 5960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A, 3.74%, 10/15/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1851 | &nbsp;&nbsp;&nbsp;&nbsp; 1716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class A, 3.26%, 10/15/2053 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8631 | &nbsp;&nbsp;&nbsp;&nbsp; 7877 |
| &nbsp;&nbsp;&nbsp; GoodLeap Home Improvement Solutions Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.35%, 10/20/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5597 | &nbsp;&nbsp;&nbsp;&nbsp; 5678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class A, 5.00%, 10/20/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 55945 | &nbsp;&nbsp;&nbsp;&nbsp; 56063 |
| &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; 5751 | &nbsp;&nbsp;&nbsp;&nbsp; 5793 |
| &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; 8859 |
| &nbsp;&nbsp;&nbsp; Grene 2023-Senior Series 2023-Senior, 5.50%, 1/17/2061 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 16532 | &nbsp;&nbsp;&nbsp;&nbsp; 16927 |
| &nbsp;&nbsp;&nbsp; Grene Energy, 11.00%, 3/15/2026 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4849 | &nbsp;&nbsp;&nbsp;&nbsp; 4531 |
| &nbsp;&nbsp;&nbsp; Grene Energy Senio, 11.00%, 1/25/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2639 | &nbsp;&nbsp;&nbsp;&nbsp; 2182 |
| &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; 5707 | &nbsp;&nbsp;&nbsp;&nbsp; 5385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, 4.67%, 9/20/2048 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7226 | &nbsp;&nbsp;&nbsp;&nbsp; 7059 |
| &nbsp;&nbsp;&nbsp; HERO Funding II (Cayman Islands), 3.75%, 9/21/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2595 | &nbsp;&nbsp;&nbsp;&nbsp; 2276 |
| &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; 1954 | &nbsp;&nbsp;&nbsp;&nbsp; 1831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A1, 3.57%, 9/20/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 616 | &nbsp;&nbsp;&nbsp;&nbsp; 583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A2, 4.29%, 9/20/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1284 | &nbsp;&nbsp;&nbsp;&nbsp; 1244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A2, 4.46%, 9/20/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4789 | &nbsp;&nbsp;&nbsp;&nbsp; 4595 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 2697 | &nbsp;&nbsp;&nbsp;&nbsp; 2657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.71%, 8/27/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5659 | &nbsp;&nbsp;&nbsp;&nbsp; 5745 |
| &nbsp;&nbsp;&nbsp; HINNT LLC Series 2022-A, Class C, 5.58%, 5/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4958 | &nbsp;&nbsp;&nbsp;&nbsp; 4985 |
| &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; 52016 | &nbsp;&nbsp;&nbsp;&nbsp; 50621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class E2, 2.95%, 12/17/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9355 | &nbsp;&nbsp;&nbsp;&nbsp; 9100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class D, 3.00%, 1/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40536 | &nbsp;&nbsp;&nbsp;&nbsp; 38118 |
| &nbsp;&nbsp;&nbsp; Hornbeck Offshore, 8.90%, 1/1/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 46825 | &nbsp;&nbsp;&nbsp;&nbsp; 46825 |
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes Series 2024-2, Class B1, 5.44%, 10/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12137 | &nbsp;&nbsp;&nbsp;&nbsp; 12263 |
| &nbsp;&nbsp;&nbsp; Identity Digital Capital LLC, 6.79%, 3/20/2065 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 99500 | &nbsp;&nbsp;&nbsp;&nbsp; 100963 |
| &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; 21976 |
| &nbsp;&nbsp;&nbsp; Jonah, 7.80%, 11/10/2037 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 31192 | &nbsp;&nbsp;&nbsp;&nbsp; 31601 |
| &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; 18980 | &nbsp;&nbsp;&nbsp;&nbsp; 19352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class B, 7.63%, 8/10/2039 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40098 | &nbsp;&nbsp;&nbsp;&nbsp; 40559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, 6.59%, 12/10/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 50970 | &nbsp;&nbsp;&nbsp;&nbsp; 51622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A1, 5.91%, 1/10/2041 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23262 | &nbsp;&nbsp;&nbsp;&nbsp; 23292 |
| &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; 8 | &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; 3310 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4, Class A, IO, 0.83%, 9/25/2037 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5598 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-2, Class A, IO, 1.00%, 8/25/2038 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4061 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2, Class A, IO, 1.90%, 3/25/2039 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3501 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-6, Class A, IO, 0.56%, 5/25/2039 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4340 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2, Class A, IO, 2.73%, 4/25/2040 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 669 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, IO, 3.16%, 7/25/2041 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1867 | &nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp; Koda Gnb ABS LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A1, 7.48%, 4/28/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12034 | &nbsp;&nbsp;&nbsp;&nbsp; 12258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2, 7.85%, 4/28/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20906 | &nbsp;&nbsp;&nbsp;&nbsp; 21320 |
| &nbsp;&nbsp;&nbsp; Lendingpoint Asset Securitization Trust Series 2022-C, Class C, 8.68%, 2/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3034 | &nbsp;&nbsp;&nbsp;&nbsp; 3022 |
| &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; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VFN1, Class A2B1, 9.21%, 12/15/2026 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &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; 10728 |
| &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; 9270 |
| &nbsp;&nbsp;&nbsp; Long Beach Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M1, 4.82%, 2/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 368 | &nbsp;&nbsp;&nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class M1, 4.92%, 7/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp;&nbsp; 180 |
| &nbsp;&nbsp;&nbsp; LVNV Funding Frn, 7.25%, 10/15/2027 ‡ (f) | &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; 11370 |
| &nbsp;&nbsp;&nbsp; Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13511 | &nbsp;&nbsp;&nbsp;&nbsp; 13579 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 6.56%, 7/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 61625 | &nbsp;&nbsp;&nbsp;&nbsp; 61985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 6.16%, 12/22/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21600 | &nbsp;&nbsp;&nbsp;&nbsp; 21598 |
| &nbsp;&nbsp;&nbsp; Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1930 | &nbsp;&nbsp;&nbsp;&nbsp; 1942 |
| &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; 19257 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; MMP Capital LLC Series 2025-A, Class A, 5.36%, 12/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9106 | &nbsp;&nbsp;&nbsp;&nbsp; 9177 |
| &nbsp;&nbsp;&nbsp; MNR ABS Issuer I LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.12%, 12/15/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 18856 | &nbsp;&nbsp;&nbsp;&nbsp; 19258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.95%, 12/15/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 22345 | &nbsp;&nbsp;&nbsp;&nbsp; 22993 |
| &nbsp;&nbsp;&nbsp; Mpire Frn, 8.29%, 9/13/2030 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 39500 | &nbsp;&nbsp;&nbsp;&nbsp; 39612 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.85%, 11/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 561 | &nbsp;&nbsp;&nbsp;&nbsp; 558 |
| &nbsp;&nbsp;&nbsp; Nexgen, Inc., 0.00, 11/16/2033‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11384 | &nbsp;&nbsp;&nbsp;&nbsp; 11384 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13504 | &nbsp;&nbsp;&nbsp;&nbsp; 13249 |
| &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; 4918 |
| &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; 4266 |
| &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; 3629 |
| &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; 3451 |
| &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; 11188 |
| &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; 8503 | &nbsp;&nbsp;&nbsp;&nbsp; 8333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class A, 2.18%, 10/8/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2993 | &nbsp;&nbsp;&nbsp;&nbsp; 2940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-B, Class B, 5.28%, 5/9/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10450 | &nbsp;&nbsp;&nbsp;&nbsp; 10471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-C, Class B, 4.93%, 7/8/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23150 | &nbsp;&nbsp;&nbsp;&nbsp; 23117 |
| &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; 47238 |
| &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; 21645 |
| &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; 7598 |
| &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; 20896 |
| &nbsp;&nbsp;&nbsp; PowerPay Issuance Trust Series 2025-1A, Class A, 5.23%, 11/18/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14972 | &nbsp;&nbsp;&nbsp;&nbsp; 15022 |
| &nbsp;&nbsp;&nbsp; Presidio Finance LLC Series 2023-1, Class A1, 7.81%, 12/25/2038 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13344 | &nbsp;&nbsp;&nbsp;&nbsp; 13625 |
| &nbsp;&nbsp;&nbsp; Prestige Auto Receivables Trust Series 2022-1A, Class C, 7.09%, 8/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1802 | &nbsp;&nbsp;&nbsp;&nbsp; 1804 |
| &nbsp;&nbsp;&nbsp; PRET LLC Series 2021-RN4, Class A1, 6.49%, 10/25/2051 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 21405 | &nbsp;&nbsp;&nbsp;&nbsp; 21425 |
| &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; 54565 |
| &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; 14777 |
| &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; 16337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7417 | &nbsp;&nbsp;&nbsp;&nbsp; 7281 |
| &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; 46091 |
| &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; 10930 |
| &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; 22586 |
| &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; 50143 |
| &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; 14075 |
| &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; 20996 |
| &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; 13741 |
| &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; 6377 |
| &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; 27550 | &nbsp;&nbsp;&nbsp;&nbsp; 27917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A2, 6.53%, 4/5/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 95299 | &nbsp;&nbsp;&nbsp;&nbsp; 97196 |
| &nbsp;&nbsp;&nbsp; Raisa Funding LLC, 7.60%, 6/15/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 9411 | &nbsp;&nbsp;&nbsp;&nbsp; 9581 |
| &nbsp;&nbsp;&nbsp; ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 6.50%, 12/27/2044 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1421 | &nbsp;&nbsp;&nbsp;&nbsp; 1420 |
| &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 November 30, 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; 2489 | &nbsp;&nbsp;&nbsp;&nbsp; 2340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.21%, 11/20/2059 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14313 | &nbsp;&nbsp;&nbsp;&nbsp; 14532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.33%, 11/20/2060 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12236 | &nbsp;&nbsp;&nbsp;&nbsp; 11808 |
| &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; 20679 |
| &nbsp;&nbsp;&nbsp; RFT TRUST Series 2024-2, Class A1, 7.11%, 9/27/2028 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 117202 | &nbsp;&nbsp;&nbsp;&nbsp; 117313 |
| &nbsp;&nbsp;&nbsp; RT Fin LLC, 7.85%, 10/15/2043 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 8550 | &nbsp;&nbsp;&nbsp;&nbsp; 8714 |
| &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; 16252 | &nbsp;&nbsp;&nbsp;&nbsp; 16286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class C, 5.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 13805 | &nbsp;&nbsp;&nbsp;&nbsp; 13868 |
| &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; 20454 |
| &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; 96550 |
| &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; 67666 |
| &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; 13600 |
| &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; 5347 |
| &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; 24279 |
| &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; 12472 |
| &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; 11662 |
| &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; 22225 |
| &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; 6719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A3, 6.17%, 5/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 42116 | &nbsp;&nbsp;&nbsp;&nbsp; 42662 |
| &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; 25466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 6.50%, 10/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4864 | &nbsp;&nbsp;&nbsp;&nbsp; 4869 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.80%, 1/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 333 | &nbsp;&nbsp;&nbsp;&nbsp; 289 |
| &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; 7673 | &nbsp;&nbsp;&nbsp;&nbsp; 7712 |
| &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; 629 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 3.94%, 10/20/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1119 | &nbsp;&nbsp;&nbsp;&nbsp; 1108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 5.83%, 1/20/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4163 | &nbsp;&nbsp;&nbsp;&nbsp; 4240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class C, 7.00%, 1/20/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2283 | &nbsp;&nbsp;&nbsp;&nbsp; 2348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class B, 6.28%, 4/20/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5389 | &nbsp;&nbsp;&nbsp;&nbsp; 5554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class B, 4.64%, 8/22/2044 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp; 2413 |
| &nbsp;&nbsp;&nbsp; SRT Issuer I LLC, 0.00%, 7/7/2031 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; 95000 | &nbsp;&nbsp;&nbsp;&nbsp; 95088 |
| &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; 14575 |
| &nbsp;&nbsp;&nbsp; Stream Innovations Issuer Trust Series 2024-2A, Class A, 5.21%, 2/15/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5726 | &nbsp;&nbsp;&nbsp;&nbsp; 5807 |
| &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; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-AL1, Class A3, 3.45%, 2/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &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; 4609 |
| &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; 10926 |
| &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; 25719 | &nbsp;&nbsp;&nbsp;&nbsp; 25841 |
| &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; 5831 |
| &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; 9982 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; United Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class B, 3.65%, 1/7/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class B, 4.60%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8511 | &nbsp;&nbsp;&nbsp;&nbsp; 8484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1, Class A, 4.00%, 4/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3365 | &nbsp;&nbsp;&nbsp;&nbsp; 3363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2, Class A, 3.75%, 9/3/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6319 | &nbsp;&nbsp;&nbsp;&nbsp; 6287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B, 3.50%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4306 | &nbsp;&nbsp;&nbsp;&nbsp; 4193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class AA, 3.10%, 7/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1676 | &nbsp;&nbsp;&nbsp;&nbsp; 1635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class A, 3.45%, 7/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15892 | &nbsp;&nbsp;&nbsp;&nbsp; 15332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class AA, 2.88%, 10/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1084 | &nbsp;&nbsp;&nbsp;&nbsp; 1037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.50%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9121 | &nbsp;&nbsp;&nbsp;&nbsp; 8816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 3.70%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5273 | &nbsp;&nbsp;&nbsp;&nbsp; 5041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 4.15%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10675 | &nbsp;&nbsp;&nbsp;&nbsp; 10535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 4.55%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9662 | &nbsp;&nbsp;&nbsp;&nbsp; 9402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class AA, 2.70%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5486 | &nbsp;&nbsp;&nbsp;&nbsp; 5048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class AA, 5.45%, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 27093 | &nbsp;&nbsp;&nbsp;&nbsp; 28078 |
| &nbsp;&nbsp;&nbsp; UOG ABS Issuer LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27730 | &nbsp;&nbsp;&nbsp;&nbsp; 28631 |
| &nbsp;&nbsp;&nbsp; UPG HI Issuer Trust Series 2025-2, Class A, 5.00%, 9/25/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 32250 | &nbsp;&nbsp;&nbsp;&nbsp; 32313 |
| &nbsp;&nbsp;&nbsp; Upstart Frn, 6.80%, 3/29/2029 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 48000 | &nbsp;&nbsp;&nbsp;&nbsp; 48000 |
| &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; 8192 | &nbsp;&nbsp;&nbsp;&nbsp; 8345 |
| &nbsp;&nbsp;&nbsp; vMobo, Inc., 7.46%, 7/18/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 110554 | &nbsp;&nbsp;&nbsp;&nbsp; 105190 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2387 | &nbsp;&nbsp;&nbsp;&nbsp; 2387 |
| &nbsp;&nbsp;&nbsp; VOLT CVI LLC Series 2021-NP12, Class A1, 5.73%, 12/26/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7663 | &nbsp;&nbsp;&nbsp;&nbsp; 7671 |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1576 | &nbsp;&nbsp;&nbsp;&nbsp; 1576 |
| &nbsp;&nbsp;&nbsp; Western Funding Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 4.98%, 9/17/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27000 | &nbsp;&nbsp;&nbsp;&nbsp; 27216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, 5.79%, 1/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5860 | &nbsp;&nbsp;&nbsp;&nbsp; 5941 |
| &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; 10980 | &nbsp;&nbsp;&nbsp;&nbsp; 11119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 1/20/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16028 | &nbsp;&nbsp;&nbsp;&nbsp; 16281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 6.56%, 1/20/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8374 | &nbsp;&nbsp;&nbsp;&nbsp; 8509 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &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; 71325 |
| &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; 12614 |
| &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; 19229 |
| &nbsp;&nbsp;&nbsp; Wolf ABS LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, 8.15%, 12/22/2042 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10017 | &nbsp;&nbsp;&nbsp;&nbsp; 10236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A2, 8.18%, 12/22/2042 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22453 | &nbsp;&nbsp;&nbsp;&nbsp; 23576 |
| &nbsp;&nbsp;&nbsp; Wolf Energy Asset Issuer LLC, 5.70%, 7/25/2050 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 39114 | &nbsp;&nbsp;&nbsp;&nbsp; 39114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $5,744,963)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 5773601 |
| **Collateralized Mortgage Obligations — 4.5%** | **Collateralized Mortgage Obligations — 4.5%** | **Collateralized Mortgage Obligations — 4.5%** |
| &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; 1562 | &nbsp;&nbsp;&nbsp;&nbsp; 1601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1CB, Class 1A6, IF, IO, 3.03%, 3/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 479 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A2, IF, IO, 1.00%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3262 | &nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-20CB, Class 3A8, IF, IO, 0.68%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2074 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 822 | &nbsp;&nbsp;&nbsp;&nbsp; 708 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2005-28CB, Class 3A5, 6.00%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-37T1, Class A2, IF, IO, 0.98%, 9/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10672 | &nbsp;&nbsp;&nbsp;&nbsp; 916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A2, IF, IO, 0.78%, 11/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2699 | &nbsp;&nbsp;&nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 683 | &nbsp;&nbsp;&nbsp;&nbsp; 526 |
| &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; 291 | &nbsp;&nbsp;&nbsp;&nbsp; 260 |
| &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; 1 |
| &nbsp;&nbsp;&nbsp; Aml-prop CAP Frn Series 2022-E, 6.45%, 1/25/2027 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1493 | &nbsp;&nbsp;&nbsp;&nbsp; 1487 |
| &nbsp;&nbsp;&nbsp; Anchor Mortgage Trust, 8.23%, 3/25/2031 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; 80000 | &nbsp;&nbsp;&nbsp;&nbsp; 81037 |
| &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; 70 |
| &nbsp;&nbsp;&nbsp; Baml PIMCO Frn, 0.00%, 1/30/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 9990 | &nbsp;&nbsp;&nbsp;&nbsp; 9990 |
| &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; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 1CB1, 5.75%, 9/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &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; 62 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class 30, PO, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class X, PO, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &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; Baring Frn Series 2021-EBO1, Class PA, 0.00%, 6/25/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 5278 | &nbsp;&nbsp;&nbsp;&nbsp; 5278 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-2, Class A5, 6.12%, 1/25/2033 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp;&nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class 3A, 6.86%, 10/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 14A, 4.50%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A1, 5.95%, 2/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 361 | &nbsp;&nbsp;&nbsp;&nbsp; 352 |
| &nbsp;&nbsp;&nbsp; Brean Asset-Backed Securities Trust Series 2023-SRM1, Class A, 4.00%, 9/25/2063 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10889 | &nbsp;&nbsp;&nbsp;&nbsp; 10800 |
| &nbsp;&nbsp;&nbsp; BVRT LLC Series 2025-1, Class C, 4.19%, 5/10/2033 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15141 | &nbsp;&nbsp;&nbsp;&nbsp; 14419 |
| &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; 7 |
| &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; 37544 |
| &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; 94823 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A1, 6.00%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 1A1, 6.89%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 2A1, 5.89%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 9A1, 6.31%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 1A3, 6.47%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 7A1, 6.87%, 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 2002-18, PO, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A26, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A4, 5.75%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB1, Class 2A, 5.16%, 5/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB3, Class 2A, 4.64%, 6/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 2A1, 5.40%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 1A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB6, Class A3, 5.28%, 11/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2005-14, Class A2, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &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, 4.88%, 11/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp;&nbsp;&nbsp; 474 |
| &nbsp;&nbsp;&nbsp; Citicorp Mortgage Securities Trust Series 2006-4, Class 1A2, 6.00%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &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, 6.74%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class 1A1, 5.67%, 9/25/2033 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A6, 6.23%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 807 | &nbsp;&nbsp;&nbsp;&nbsp; 794 |
| &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; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &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; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A5, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1A, 3.45%, 2/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A11, 5.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A2, 4.37%, 8/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp; 260 |
| &nbsp;&nbsp;&nbsp; Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-R02, Class 1M2, 7.42%, 1/25/2043 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17575 | &nbsp;&nbsp;&nbsp;&nbsp; 18309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-R06, Class 1M2, 6.77%, 7/25/2043 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9750 | &nbsp;&nbsp;&nbsp;&nbsp; 10024 |
| &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; 270 | &nbsp;&nbsp;&nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR15, Class 3A1, 6.81%, 6/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-21, Class 1A4, 5.25%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-23, Class 1P, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &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; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 1A4, 5.50%, 12/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 354 | &nbsp;&nbsp;&nbsp;&nbsp; 363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class AP, PO, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class DX, IO, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 678 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-10, Class AP, PO, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust Series 2009, 8.35%, 7/10/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3389 | &nbsp;&nbsp;&nbsp;&nbsp; 3699 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.41%, 2/25/2020 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; EQV Abs Issuer I LLC, 5.85%, 12/15/2040 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1382 | &nbsp;&nbsp;&nbsp;&nbsp; 1388 |
| &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; 24565 | &nbsp;&nbsp;&nbsp;&nbsp; 20526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.19%, 8/1/2054 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 50472 | &nbsp;&nbsp;&nbsp;&nbsp; 49803 |
| &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; 12628 | &nbsp;&nbsp;&nbsp;&nbsp; 11588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class M60C, 3.50%, 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 7776 | &nbsp;&nbsp;&nbsp;&nbsp; 7271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class MT, 3.50%, 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 24375 | &nbsp;&nbsp;&nbsp;&nbsp; 22352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, Class MA, 3.50%, 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 23569 | &nbsp;&nbsp;&nbsp;&nbsp; 23034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, Class MZ, 3.50%, 3/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 15371 | &nbsp;&nbsp;&nbsp;&nbsp; 11931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class MT, 3.50%, 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 32998 | &nbsp;&nbsp;&nbsp;&nbsp; 29805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M55D, 4.00%, 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 17574 | &nbsp;&nbsp;&nbsp;&nbsp; 16902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class MA, 3.50%, 8/26/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 11936 | &nbsp;&nbsp;&nbsp;&nbsp; 11605 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2019-3, Class MB, 3.50%, 10/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 26442 | &nbsp;&nbsp;&nbsp;&nbsp; 22614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4, Class MA, 3.00%, 2/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 30208 | &nbsp;&nbsp;&nbsp;&nbsp; 28458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M55G, 3.00%, 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 27655 | &nbsp;&nbsp;&nbsp;&nbsp; 25234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class MB, 2.00%, 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 20429 | &nbsp;&nbsp;&nbsp;&nbsp; 14545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class MT, 2.00%, 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 41390 | &nbsp;&nbsp;&nbsp;&nbsp; 33394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class MTU, 2.50%, 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 37726 | &nbsp;&nbsp;&nbsp;&nbsp; 31497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class MTU, 3.25%, 11/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 82723 | &nbsp;&nbsp;&nbsp;&nbsp; 72743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class MT, 3.00%, 10/25/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 52862 | &nbsp;&nbsp;&nbsp;&nbsp; 45007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class MT, 3.50%, 5/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 81887 | &nbsp;&nbsp;&nbsp;&nbsp; 72482 |
| &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; 818 | &nbsp;&nbsp;&nbsp;&nbsp; 863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R007, Class ZA, 6.00%, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1079 | &nbsp;&nbsp;&nbsp;&nbsp; 1140 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3793, Class AB, 3.50%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &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 1890, Class H, 7.50%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1899, Class ZE, 8.00%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1927, Class ZA, 6.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1927, Class PH, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1963, Class Z, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1935, Class FL, 4.96%, 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; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &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; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019, Class Z, 6.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2038, Class PN, IO, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2040, Class PE, 7.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2054, Class PV, 7.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2063, Class PG, 6.50%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &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; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PM, 6.25%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PH, 6.50%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2086, Class GB, 6.00%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &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; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2106, Class ZD, 6.00%, 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2388, Class FB, 4.86%, 1/15/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2110, Class PG, 6.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2125, Class JZ, 6.00%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2126, Class CB, 6.25%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class SB, IF, 11.82%, 3/15/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2141, IO, 7.00%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2169, Class TB, 7.00%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2163, Class PC, IO, 7.50%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2172, Class QC, 7.00%, 7/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2176, Class OJ, 7.00%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2196, Class TL, 7.50%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2201, Class C, 8.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &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; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2209, Class TC, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2210, Class Z, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2224, Class CB, 8.00%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3654, Class DC, 5.00%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2001 | &nbsp;&nbsp;&nbsp;&nbsp; 2032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2230, Class Z, 8.00%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2234, Class PZ, 7.50%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2247, Class Z, 7.50%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2256, Class MC, 7.25%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2259, Class ZM, 7.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2262, Class Z, 7.50%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2271, Class PC, 7.25%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2296, Class PD, 7.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2313, Class LA, 6.50%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2325, Class PM, 7.00%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2359, Class ZB, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2332, Class ZH, 7.00%, 7/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZD, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZJ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2345, Class NE, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2351, Class PZ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2367, Class ME, 6.50%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class OH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class TH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2475, Class S, IF, IO, 3.74%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QX, IF, IO, 4.39%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2418, Class FO, 5.16%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class NG, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2420, Class XK, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2412, Class SP, IF, 7.59%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QS, IF, 8.43%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2444, Class ES, IF, IO, 3.69%, 3/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class SW, IF, IO, 3.74%, 3/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &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; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2430, Class WF, 6.50%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MC, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MT, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class ZA, 6.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2435, Class CJ, 6.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2441, Class GF, 6.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class TC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2436, Class MC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2455, Class GK, 6.50%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class GZ, 7.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2458, Class ZM, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2466, Class DH, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2466, Class PH, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2474, Class NR, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2484, Class LZ, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3393, Class JO, PO, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class MC, 6.00%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2835, Class QO, PO, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class FY, 5.01%, 12/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2543, Class YX, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2544, Class HC, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class SY, IF, 8.38%, 12/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2552, Class ME, 6.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2567, Class QD, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2575, Class ME, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp; 584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2596, Class QG, 6.00%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2586, Class WI, IO, 6.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2631, Class SA, IF, 7.05%, 6/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2642, Class SL, IF, 4.64%, 7/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2692, Class SC, IF, 4.77%, 7/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2653, Class PZ, 5.00%, 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 646 | &nbsp;&nbsp;&nbsp;&nbsp; 660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4238, Class WY, 3.00%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1351 | &nbsp;&nbsp;&nbsp;&nbsp; 1313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2671, Class S, IF, 6.95%, 9/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2733, Class SB, IF, 4.18%, 10/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1207 | &nbsp;&nbsp;&nbsp;&nbsp; 1205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2780, Class SY, IF, 7.14%, 11/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2722, Class PF, 4.86%, 12/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp;&nbsp;&nbsp; 394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3920, Class LP, 5.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp; 647 |
| &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; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3611, PO, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3305, Class MG, IF, 6.48%, 7/15/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class GO, PO, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2929, Class MS, IF, 9.43%, 2/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2968, Class EH, 6.00%, 4/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2316 | &nbsp;&nbsp;&nbsp;&nbsp; 2396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2981, Class FA, 4.66%, 5/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2988, Class AF, 4.56%, 6/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class WP, IF, 6.05%, 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; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3085, Class WF, 5.06%, 8/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3029, Class SO, PO, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3064, Class SG, IF, 5.81%, 11/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3101, Class UZ, 6.00%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp;&nbsp;&nbsp; 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3102, Class HS, IF, 8.96%, 1/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class AO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class EO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OG, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OK, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OH, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OP, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3134, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 3122, Class ZB, 6.00%, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3138, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3147, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class AO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class BO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3137, Class XP, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3219, Class DI, IO, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3819, Class ZQ, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1776 | &nbsp;&nbsp;&nbsp;&nbsp; 1878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3149, Class SO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3151, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3153, Class EO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3233, Class OP, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3171, Class MO, PO, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3164, Class MG, 6.00%, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3523, Class SD, IF, 7.96%, 6/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3179, Class OA, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3194, Class SA, IF, IO, 2.84%, 7/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &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; 204 | &nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3195, Class PD, 6.50%, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3200, PO, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3202, Class HI, IF, IO, 2.39%, 8/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1331 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3200, Class AY, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 442 | &nbsp;&nbsp;&nbsp;&nbsp; 460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3645, Class KZ, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3213, Class OA, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3218, Class AO, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3225, Class EO, PO, 10/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3232, Class ST, IF, IO, 2.44%, 10/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &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; 1398 | &nbsp;&nbsp;&nbsp;&nbsp; 1510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3256, PO, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class CT, 7.00%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 3135 | &nbsp;&nbsp;&nbsp;&nbsp; 3368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class ET, 7.50%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 | &nbsp;&nbsp;&nbsp;&nbsp; 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3261, Class OA, PO, 1/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3260, Class CS, IF, IO, 1.88%, 1/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &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; 140 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3275, Class FL, 4.70%, 2/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class B, 6.00%, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3286, PO, 3/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3290, Class SB, IF, IO, 2.19%, 3/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 209 | &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; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3373, Class TO, PO, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3302, Class UT, 6.00%, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3316, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &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; 645 | &nbsp;&nbsp;&nbsp;&nbsp; 542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3315, Class HZ, 6.00%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3326, Class JO, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3331, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 3607, Class OP, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 621 | &nbsp;&nbsp;&nbsp;&nbsp; 535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4032, Class TO, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 882 | &nbsp;&nbsp;&nbsp;&nbsp; 756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3344, Class SL, IF, IO, 2.34%, 7/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4048, Class FJ, 4.83%, 7/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1382 | &nbsp;&nbsp;&nbsp;&nbsp; 1366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3365, PO, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3371, Class FA, 4.86%, 9/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3387, Class SA, IF, IO, 2.16%, 11/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 858 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3383, Class SA, IF, IO, 2.19%, 11/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3404, Class SC, IF, IO, 1.74%, 1/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 918 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3422, Class SE, IF, 6.81%, 2/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3423, Class PB, 5.50%, 3/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 797 | &nbsp;&nbsp;&nbsp;&nbsp; 833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3424, Class PI, IF, IO, 2.54%, 4/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 471 | &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; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3455, Class SE, IF, IO, 1.94%, 6/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 453 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3461, Class LZ, 6.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &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; 967 | &nbsp;&nbsp;&nbsp;&nbsp; 1016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3481, Class SJ, IF, IO, 1.59%, 8/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 559 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3895, Class WA, 5.60%, 10/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3501, Class CB, 5.50%, 1/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 466 | &nbsp;&nbsp;&nbsp;&nbsp; 485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3511, Class SA, IF, IO, 1.74%, 2/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3546, Class A, 6.10%, 2/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3531, Class SM, IF, IO, 1.84%, 5/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3531, Class SA, IF, IO, 2.04%, 5/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3549, Class FA, 5.46%, 7/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class TO, PO, 10/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3608, Class SC, IF, IO, 1.99%, 12/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, Class BO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3802, Class LS, IF, IO, 1.81%, 1/15/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1333 | &nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3632, Class BS, IF, 3.31%, 2/15/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 741 | &nbsp;&nbsp;&nbsp;&nbsp; 746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3740, Class SB, IF, IO, 1.74%, 10/15/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 696 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3740, Class SC, IF, IO, 1.74%, 10/15/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 715 | &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; 5334 | &nbsp;&nbsp;&nbsp;&nbsp; 5361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3779, Class Z, 4.50%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 14908 | &nbsp;&nbsp;&nbsp;&nbsp; 14958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3860, Class PZ, 5.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 8593 | &nbsp;&nbsp;&nbsp;&nbsp; 8767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class QN, IF, 5.50%, 5/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp;&nbsp;&nbsp; 468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1303 | &nbsp;&nbsp;&nbsp;&nbsp; 1325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4048, Class FB, 4.66%, 10/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1057 | &nbsp;&nbsp;&nbsp;&nbsp; 1052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3957, Class B, 4.00%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 844 | &nbsp;&nbsp;&nbsp;&nbsp; 832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class NA, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 755 | &nbsp;&nbsp;&nbsp;&nbsp; 747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4012, Class FN, 4.76%, 3/15/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2353 | &nbsp;&nbsp;&nbsp;&nbsp; 2337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4077, Class FB, 4.76%, 7/15/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1111 | &nbsp;&nbsp;&nbsp;&nbsp; 1101 |
| &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; 1616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4257, Class DZ, 2.50%, 10/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6621 | &nbsp;&nbsp;&nbsp;&nbsp; 5899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3688, Class GT, 7.48%, 11/15/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1461 | &nbsp;&nbsp;&nbsp;&nbsp; 1569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4809, Class ZM, 4.00%, 7/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 18977 | &nbsp;&nbsp;&nbsp;&nbsp; 18211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4837, Class ZB, 4.00%, 10/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6440 | &nbsp;&nbsp;&nbsp;&nbsp; 6164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5008, Class LB, 1.50%, 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 18899 | &nbsp;&nbsp;&nbsp;&nbsp; 15539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5190, Class PH, 2.50%, 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17301 | &nbsp;&nbsp;&nbsp;&nbsp; 16099 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 5354, PO, 10/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6009 | &nbsp;&nbsp;&nbsp;&nbsp; 4609 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 197, PO, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 11, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 321 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 12, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 13, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 239, Class S30, IF, IO, 3.44%, 8/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 999 | &nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 262, Class 35, 3.50%, 7/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 10964 | &nbsp;&nbsp;&nbsp;&nbsp; 10444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 264, Class F1, 4.81%, 7/15/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4270 | &nbsp;&nbsp;&nbsp;&nbsp; 4244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 270, Class F1, 4.76%, 8/15/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1482 | &nbsp;&nbsp;&nbsp;&nbsp; 1470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 299, Class 300, 3.00%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp;&nbsp;&nbsp; 709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 310, PO, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2585 | &nbsp;&nbsp;&nbsp;&nbsp; 2027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 406, PO, 10/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 43221 | &nbsp;&nbsp;&nbsp;&nbsp; 37275 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-41, Class 3A, 4.40%, 7/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 260 | &nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-48, Class 1A, 4.33%, 7/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 725 | &nbsp;&nbsp;&nbsp;&nbsp; 705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-76, Class 2A, 2.20%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4696 | &nbsp;&nbsp;&nbsp;&nbsp; 4328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-42, Class A5, 7.50%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1034 | &nbsp;&nbsp;&nbsp;&nbsp; 1123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 2A, 7.50%, 8/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1317 | &nbsp;&nbsp;&nbsp;&nbsp; 1336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 3A, 7.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 422 | &nbsp;&nbsp;&nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-56, Class A5, 5.23%, 5/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2696 | &nbsp;&nbsp;&nbsp;&nbsp; 2599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-57, Class 1AP, PO, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-57, Class 1A3, 7.50%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class A, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class 4A, 7.50%, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1285 | &nbsp;&nbsp;&nbsp;&nbsp; 1341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1AP, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1A2, 7.00%, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 | &nbsp;&nbsp;&nbsp;&nbsp; 1308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-62, Class 1A1, 5.28%, 10/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1312 | &nbsp;&nbsp;&nbsp;&nbsp; 1209 |
| &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; 408 | &nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FA4, Class 1A2, IF, IO, 1.58%, 8/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4451 | &nbsp;&nbsp;&nbsp;&nbsp; 418 |
| &nbsp;&nbsp;&nbsp; FNMA REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class GO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class AO, PO, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &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; 741 | &nbsp;&nbsp;&nbsp;&nbsp; 778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 3F1, 4.59%, 5/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W2, Class 2A9, 5.90%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp; 214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W2, Class 1A1, 6.50%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp; 381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W6, Class 2A4, 5.20%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1195 | &nbsp;&nbsp;&nbsp;&nbsp; 1194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W6, Class 3A, 6.50%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 421 | &nbsp;&nbsp;&nbsp;&nbsp; 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 2A, 7.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 458 | &nbsp;&nbsp;&nbsp;&nbsp; 473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W8, Class 3A, 7.50%, 6/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W15, Class 2AF, 4.44%, 8/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp; 304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W3, Class 2AF, 4.41%, 3/25/2045 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2556 | &nbsp;&nbsp;&nbsp;&nbsp; 2534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W4, Class 1A1, 6.00%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 117 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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-W2, Class 2A, 5.66%, 11/25/2045 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 384 | &nbsp;&nbsp;&nbsp;&nbsp; 395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 1AF1, 4.41%, 2/25/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1127 | &nbsp;&nbsp;&nbsp;&nbsp; 1116 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 85697 | &nbsp;&nbsp;&nbsp;&nbsp; 84317 |
| &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; 206 | &nbsp;&nbsp;&nbsp;&nbsp; 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T3, Class A1, 7.50%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp; 362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T4, Class A1, 6.50%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4012 | &nbsp;&nbsp;&nbsp;&nbsp; 4148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T16, Class A2, 7.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 503 | &nbsp;&nbsp;&nbsp;&nbsp; 537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T2, Class 2A, 5.43%, 7/25/2043 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T2, Class 1A4, 7.50%, 11/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 617 | &nbsp;&nbsp;&nbsp;&nbsp; 624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T1, Class 1A2, 6.50%, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class PT1, 9.11%, 1/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class 1A2, 6.50%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1206 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp;&nbsp;&nbsp; 530 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-94, Class GK, IF, 12.32%, 10/25/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-48, Class Z, 7.00%, 11/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-27, Class J, 7.50%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-29, Class J, 7.50%, 4/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-32, Class PG, 6.50%, 4/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-39, Class PD, 7.50%, 5/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &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; 5 | &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; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class S, IF, IO, 3.41%, 7/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-18, Class Z, 5.50%, 4/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-17, Class C, 6.35%, 4/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-62, Class PB, 7.50%, 12/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-2, Class ZE, 7.50%, 2/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-52, IO, 8.50%, 1/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &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; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-31, Class DB, 3.50%, 4/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1625 | &nbsp;&nbsp;&nbsp;&nbsp; 1601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-30, Class PM, 7.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-36, Class DE, 7.00%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-49, Class Z, 6.50%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class MY, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PD, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PU, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-60, Class QS, IF, 9.85%, 9/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-52, Class KB, 6.50%, 10/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class SX, IF, 10.39%, 10/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-60, Class PX, 6.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-61, Class Z, 7.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-74, Class SW, IF, 7.00%, 11/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-72, Class SX, IF, 7.72%, 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; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class SA, IF, 11.58%, 2/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &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; 3 | &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; 287 | &nbsp;&nbsp;&nbsp;&nbsp; 297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class PE, 6.50%, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-28, Class PK, 6.50%, 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-37, Class Z, 6.50%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-48, Class GH, 6.50%, 8/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-71, Class AP, 5.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-39, Class ZA, 6.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 916 | &nbsp;&nbsp;&nbsp;&nbsp; 957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SH, IF, 7.25%, 11/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-59, Class BG, PO, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-78, Class Z, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp;&nbsp;&nbsp; 290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class S, IF, 6.81%, 12/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class NZ, 6.50%, 2/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-14, Class TI, IO, 5.00%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &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; 516 | &nbsp;&nbsp;&nbsp;&nbsp; 513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-35, Class EA, PO, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-42, Class GB, 4.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class AX, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class ED, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 358 | &nbsp;&nbsp;&nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class GE, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp; 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, IO, 6.00%, 5/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 389 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-47, Class PE, 5.75%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-64, Class SX, IF, 2.94%, 7/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class OA, PO, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-71, Class DS, IF, 1.70%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-74, Class SH, IF, 2.63%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 622 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-73, Class HC, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-91, Class SD, IF, 5.52%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-100, Class WB, 3.00%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4057 | &nbsp;&nbsp;&nbsp;&nbsp; 3940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-105, Class AZ, 5.50%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1731 | &nbsp;&nbsp;&nbsp;&nbsp; 1803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-116, Class SB, IF, IO, 3.41%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class P, PO, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-122, Class ZJ, 6.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1381 | &nbsp;&nbsp;&nbsp;&nbsp; 1450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-87, Class F, 4.94%, 1/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-130, Class SX, IF, 5.24%, 1/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class EP, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class PF, 4.59%, 3/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-17, Class H, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 588 | &nbsp;&nbsp;&nbsp;&nbsp; 609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-25, Class SA, IF, 8.01%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class FA, 4.59%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 459 | &nbsp;&nbsp;&nbsp;&nbsp; 456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class SK, IF, 4.99%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2004-46, Class QB, IF, 7.25%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class SA, IF, 8.01%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-50, Class VZ, 5.50%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1089 | &nbsp;&nbsp;&nbsp;&nbsp; 1137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-51, Class SY, IF, 5.87%, 7/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-25, Class PF, 4.54%, 4/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 268 | &nbsp;&nbsp;&nbsp;&nbsp; 266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-42, Class PS, IF, 6.53%, 5/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-59, Class SU, IF, 4.57%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class S, IF, IO, 2.52%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SG, IF, 6.91%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class PG, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class ZB, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1996 | &nbsp;&nbsp;&nbsp;&nbsp; 2072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class PS, IF, 6.23%, 8/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-72, Class SB, IF, 6.41%, 8/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-75, Class SV, IF, 7.45%, 9/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-39, Class OT, PO, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class XM, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, Class ES, IF, 6.41%, 10/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-106, Class US, IF, 9.22%, 11/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-110, Class GL, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1340 | &nbsp;&nbsp;&nbsp;&nbsp; 1398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-109, Class PC, 6.00%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OA, PO, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WQ, PO, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 497 | &nbsp;&nbsp;&nbsp;&nbsp; 419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WN, IF, IO, 2.51%, 3/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1822 | &nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12, Class BZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 512 | &nbsp;&nbsp;&nbsp;&nbsp; 535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class HZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class JZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 634 | &nbsp;&nbsp;&nbsp;&nbsp; 656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-11, Class PS, IF, 9.22%, 3/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class KO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class OH, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class FK, 4.44%, 4/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 312 | &nbsp;&nbsp;&nbsp;&nbsp; 308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-33, Class LS, IF, 11.31%, 5/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-43, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-43, Class DO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class GO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class JO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp;&nbsp;&nbsp; 244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class PS, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp; 317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-53, Class US, IF, IO, 2.39%, 6/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 342 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class FW, 4.59%, 6/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class SW, IF, 8.85%, 6/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class AP, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class QO, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class IG, IF, IO, 2.33%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class FC, 4.48%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp; 691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class FL, 4.65%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-71, Class ZL, 6.00%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1117 | &nbsp;&nbsp;&nbsp;&nbsp; 1180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-63, Class ZH, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 483 | &nbsp;&nbsp;&nbsp;&nbsp; 521 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2011-19, Class ZY, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 639 | &nbsp;&nbsp;&nbsp;&nbsp; 690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-60, Class AK, IF, 12.05%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-62, Class PS, IF, 14.78%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class TO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class OP, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class SG, IF, IO, 2.31%, 8/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 810 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DF, 4.54%, 8/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp;&nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-77, Class PC, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-78, Class BZ, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-86, Class OB, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-90, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-42, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-85, Class MZ, 6.50%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-19, Class PW, 4.50%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp;&nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-95, Class SG, IF, 9.45%, 10/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-109, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-111, Class EO, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-115, Class OK, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-119, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-117, Class GS, IF, IO, 2.46%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 388 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A1, 4.36%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A2, 4.36%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 732 | &nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-115, Class ES, IF, 9.81%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-128, PO, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-70, Class CO, PO, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-128, Class BP, 5.50%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-10, Class FD, 4.44%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class SD, IF, 13.88%, 2/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class OP, PO, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-22, Class SC, IF, IO, 1.89%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class ES, IF, IO, 2.25%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 602 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-77, Class FG, 4.69%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 4.94%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-63, Class P, 5.00%, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-18, Class MZ, 6.00%, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class EO, PO, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp;&nbsp;&nbsp; 194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-35, Class SI, IF, IO, 1.91%, 4/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-29, Class SG, IF, 8.71%, 4/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-43, Class FL, 4.49%, 5/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class B, 6.00%, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-92, Class YS, IF, IO, 1.59%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SH, IF, IO, 1.91%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 457 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class WI, IF, IO, 1.91%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-98, Class FB, 4.64%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-92, Class YA, 6.50%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-67, PO, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2007-72, Class EK, IF, IO, 2.21%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1185 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-65, Class KI, IF, IO, 2.43%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 391 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-60, Class AX, IF, IO, 2.96%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1741 | &nbsp;&nbsp;&nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-97, Class FC, 4.69%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-70, Class Z, 5.50%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 421 | &nbsp;&nbsp;&nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-62, Class SE, IF, 6.03%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class AZ, 5.50%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class ZG, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-78, Class CB, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-78, Class PE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-81, Class GE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SB, IF, 8.67%, 8/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-88, Class VI, IF, IO, 2.35%, 9/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 564 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-85, Class SL, IF, 5.68%, 9/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class OT, PO, 10/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1438 | &nbsp;&nbsp;&nbsp;&nbsp; 1241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-100, Class SM, IF, IO, 2.26%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-91, Class ES, IF, IO, 2.27%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 624 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-108, Class SA, IF, IO, 2.17%, 12/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-109, Class AI, IF, IO, 2.21%, 12/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-112, Class SA, IF, IO, 2.26%, 12/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 596 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-112, Class MJ, 6.50%, 12/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-116, Class HI, IO, 1.67%, 1/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 927 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, Class BI, IF, IO, 1.72%, 2/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 476 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-4, Class SD, IF, IO, 1.81%, 2/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1339 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-16, Class IS, IF, IO, 2.01%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class XI, IF, IO, 2.04%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-20, Class SA, IF, IO, 2.80%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class FA, 5.09%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class SP, IF, 5.63%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-32, Class SA, IF, IO, 2.66%, 4/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-27, Class SN, IF, IO, 2.71%, 4/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-28, Class QS, IF, 8.14%, 4/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &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, 2.03%, 6/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-53, Class CI, IF, IO, 3.01%, 7/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-56, Class AC, 5.00%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-60, Class JC, 5.00%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-47, Class ZA, 5.50%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 503 | &nbsp;&nbsp;&nbsp;&nbsp; 519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class SA, IF, IO, 1.66%, 9/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 457 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class SB, IF, IO, 1.66%, 9/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 472 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class GS, IF, IO, 2.36%, 2/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 287 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-4, Class BD, 4.50%, 2/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-17, Class QS, IF, IO, 2.46%, 3/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &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; 209 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &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; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-59, Class HB, 5.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 856 | &nbsp;&nbsp;&nbsp;&nbsp; 878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-60, Class HT, 6.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1090 | &nbsp;&nbsp;&nbsp;&nbsp; 1153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-65, Class MT, 5.00%, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2009-69, Class WA, 5.95%, 9/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-84, Class WS, IF, IO, 1.71%, 10/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class SC, IF, IO, 1.99%, 12/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class WA, 6.33%, 12/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 535 | &nbsp;&nbsp;&nbsp;&nbsp; 548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-103, Class MB, 6.56%, 12/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 458 | &nbsp;&nbsp;&nbsp;&nbsp; 461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-113, Class AO, PO, 1/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-112, Class ST, IF, IO, 2.06%, 1/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-1, Class WA, 6.28%, 2/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-49, Class SC, IF, 4.29%, 3/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 567 | &nbsp;&nbsp;&nbsp;&nbsp; 569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WB, 6.11%, 3/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 535 | &nbsp;&nbsp;&nbsp;&nbsp; 544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WA, 6.44%, 3/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 361 | &nbsp;&nbsp;&nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class SB, IF, IO, 2.23%, 4/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class SJ, IF, 3.71%, 4/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp;&nbsp;&nbsp; 321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-40, Class FJ, 4.79%, 4/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-42, Class S, IF, IO, 2.21%, 5/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-43, Class FD, 4.79%, 5/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-63, Class AP, PO, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-64, Class DM, 5.00%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp;&nbsp;&nbsp; 773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class MB, 5.50%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1809 | &nbsp;&nbsp;&nbsp;&nbsp; 1850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-71, Class HJ, 5.50%, 7/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 752 | &nbsp;&nbsp;&nbsp;&nbsp; 784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-102, Class PN, 5.00%, 9/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 559 | &nbsp;&nbsp;&nbsp;&nbsp; 573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-111, Class AM, 5.50%, 10/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2731 | &nbsp;&nbsp;&nbsp;&nbsp; 2861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-125, Class SA, IF, IO, 0.25%, 11/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1072 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-147, Class SA, IF, IO, 2.34%, 1/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1990 | &nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-30, Class LS, IO, 1.74%, 4/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1278 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-149, Class EF, 4.69%, 7/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class FA, 4.74%, 8/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-149, Class MF, 4.69%, 11/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 347 | &nbsp;&nbsp;&nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class LB, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2116 | &nbsp;&nbsp;&nbsp;&nbsp; 2274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class MT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2649 | &nbsp;&nbsp;&nbsp;&nbsp; 2828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class NT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2367 | &nbsp;&nbsp;&nbsp;&nbsp; 2546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-99, Class FA, 4.64%, 9/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 762 | &nbsp;&nbsp;&nbsp;&nbsp; 753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-101, Class FC, 4.69%, 9/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 453 | &nbsp;&nbsp;&nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-97, Class FB, 4.69%, 9/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1485 | &nbsp;&nbsp;&nbsp;&nbsp; 1472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-108, Class F, 4.69%, 10/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1168 | &nbsp;&nbsp;&nbsp;&nbsp; 1159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-120, Class ZB, 3.50%, 11/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4381 | &nbsp;&nbsp;&nbsp;&nbsp; 4185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class TA, 3.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 978 | &nbsp;&nbsp;&nbsp;&nbsp; 968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4, Class AJ, 3.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp;&nbsp;&nbsp; 770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3160 | &nbsp;&nbsp;&nbsp;&nbsp; 2427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class DO, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2822 | &nbsp;&nbsp;&nbsp;&nbsp; 2150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-128, PO, 12/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 4958 | &nbsp;&nbsp;&nbsp;&nbsp; 3809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-135, PO, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1721 | &nbsp;&nbsp;&nbsp;&nbsp; 1317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-29, Class PS, IF, IO, 1.86%, 5/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1669 | &nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-42, Class B, 3.00%, 6/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 28233 | &nbsp;&nbsp;&nbsp;&nbsp; 25838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-63, Class DA, 3.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1096 | &nbsp;&nbsp;&nbsp;&nbsp; 1028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-94, Class DZ, 4.00%, 1/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8929 | &nbsp;&nbsp;&nbsp;&nbsp; 8559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class SB, IF, IO, 1.91%, 11/25/2049 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2020-90, Class PE, 2.00%, 12/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10069 | &nbsp;&nbsp;&nbsp;&nbsp; 8209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-2, Class WA, 5.81%, 2/25/2051 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-58, Class WA, 5.51%, 7/25/2051 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-40, PO, 9/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 13953 | &nbsp;&nbsp;&nbsp;&nbsp; 11881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-18, Class MA, 0.50%, 9/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 155292 | &nbsp;&nbsp;&nbsp;&nbsp; 132629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-31, Class MA, 0.50%, 9/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9790 | &nbsp;&nbsp;&nbsp;&nbsp; 8281 |
| &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; 1320 | &nbsp;&nbsp;&nbsp;&nbsp; 1365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W3, Class 1A3, 6.75%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W5, PO, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W7, Class 1A4, IF, 14.06%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-W6, Class 1A6, 6.15%, 6/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 7634 | &nbsp;&nbsp;&nbsp;&nbsp; 7673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 2A, 5.05%, 10/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.70%, 12/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 385 | &nbsp;&nbsp;&nbsp;&nbsp; 389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.08%, 12/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W11, Class 1A1, 6.00%, 5/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 329 | &nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W1, Class 1A2, 6.50%, 10/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 551 | &nbsp;&nbsp;&nbsp;&nbsp; 575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W3, Class 2A, 6.00%, 9/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp;&nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W10, Class 2A, 6.14%, 8/25/2047 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 781 | &nbsp;&nbsp;&nbsp;&nbsp; 814 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-101, Class A2, 4.73%, 6/27/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1311 | &nbsp;&nbsp;&nbsp;&nbsp; 1324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.59%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 679 | &nbsp;&nbsp;&nbsp;&nbsp; 674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-64, Class FB, 4.56%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.06%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-90, Class A1, 6.50%, 6/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp;&nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 329, Class 1, PO, 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 345, Class 6, IO, 5.00%, 12/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 365, Class 8, IO, 5.50%, 5/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 374, Class 5, IO, 5.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 393, Class 6, IO, 5.50%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &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; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 412, Class F2, 4.69%, 8/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1554 | &nbsp;&nbsp;&nbsp;&nbsp; 1507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 411, Class F1, 4.74%, 8/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3458 | &nbsp;&nbsp;&nbsp;&nbsp; 3438 |
| &nbsp;&nbsp;&nbsp; FNMA, Whole Loan Series 2007-W1, Class 1AF1, 4.45%, 11/25/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1950 | &nbsp;&nbsp;&nbsp;&nbsp; 1934 |
| &nbsp;&nbsp;&nbsp; GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 4.38%, 6/19/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-35, Class SA, IF, IO, 4.18%, 8/16/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &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; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-58, Class BE, 6.50%, 1/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class SP, IF, IO, 3.63%, 2/20/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &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; 501 | &nbsp;&nbsp;&nbsp;&nbsp; 500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-46, Class MG, 6.50%, 5/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class AP, PO, 6/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-75, Class ZX, 6.00%, 9/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp;&nbsp;&nbsp; 282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-41, Class WA, 5.81%, 10/20/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-97, Class SA, IF, IO, 2.48%, 11/16/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; — |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2003-112, Class SA, IF, IO, 2.48%, 12/16/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class S, IF, 8.46%, 4/16/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class JM, IF, 7.76%, 5/18/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, PO, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-49, Class Z, 6.00%, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 713 | &nbsp;&nbsp;&nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class WA, 5.66%, 8/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-73, Class JL, IF, IO, 2.48%, 9/16/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 735 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class SB, IF, 9.46%, 9/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-89, Class LS, IF, 9.45%, 10/16/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class SI, IF, IO, 2.03%, 10/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 998 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-96, Class SC, IF, IO, 2.01%, 11/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 628 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class SK, IF, IO, 2.68%, 1/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 660 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class DP, IF, 6.62%, 6/17/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-79, Class CS, IF, 2.73%, 6/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 346 | &nbsp;&nbsp;&nbsp;&nbsp; 347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class IC, IO, 5.50%, 7/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SP, IF, 7.26%, 8/16/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class CO, PO, 8/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 398 | &nbsp;&nbsp;&nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-65, Class SA, IF, 7.30%, 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, 2.23%, 9/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1442 | &nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-72, Class AZ, 5.50%, 9/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 256 | &nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-82, PO, 10/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class BO, PO, 11/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OP, PO, 3/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 5/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-34, PO, 7/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-33, Class Z, 6.50%, 7/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 794 | &nbsp;&nbsp;&nbsp;&nbsp; 817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class ZK, 6.50%, 8/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 967 | &nbsp;&nbsp;&nbsp;&nbsp; 965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-59, Class SD, IF, IO, 2.63%, 10/20/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-57, Class PZ, 5.56%, 10/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp;&nbsp; 427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-22, Class WA, 5.76%, 2/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-9, Class CI, IF, IO, 2.13%, 3/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 477 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JO, PO, 4/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp; 202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JI, IF, IO, 2.74%, 4/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-19, Class SD, IF, IO, 2.13%, 4/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-129, Class AW, 5.82%, 4/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-25, Class FN, 4.37%, 5/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class BO, PO, 5/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-26, Class SC, IF, IO, 2.13%, 5/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 421 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-27, Class SD, IF, IO, 2.13%, 5/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-35, PO, 6/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 643 | &nbsp;&nbsp;&nbsp;&nbsp; 530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class HO, PO, 6/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SE, IF, IO, 2.40%, 6/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SJ, IF, IO, 2.18%, 6/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-45, Class QA, IF, IO, 2.57%, 7/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 530 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SN, IF, IO, 2.61%, 7/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 506 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SD, IF, IO, 2.68%, 7/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 368 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2007-53, Class ES, IF, IO, 2.48%, 9/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SW, IF, 7.98%, 9/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-7, Class SP, IF, 5.25%, 10/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO, 11/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 633 | &nbsp;&nbsp;&nbsp;&nbsp; 532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-74, Class SL, IF, IO, 2.47%, 11/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-73, Class MI, IF, IO, 1.93%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class SB, IF, IO, 2.43%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 855 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-67, Class SI, IF, IO, 2.44%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class US, IF, IO, 2.48%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 387 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-7, Class SK, IF, 7.73%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SY, IF, IO, 2.48%, 12/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, PO, 1/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-137, Class WA, 5.55%, 1/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1374 | &nbsp;&nbsp;&nbsp;&nbsp; 1430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class ST, IF, IO, 1.93%, 2/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-17, IO, 5.50%, 2/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-33, Class XS, IF, IO, 3.63%, 4/16/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-36, Class SH, IF, IO, 2.23%, 4/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 576 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 2.33%, 5/16/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1401 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class SA, IF, IO, 2.13%, 6/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-50, Class KB, 6.00%, 6/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 288 | &nbsp;&nbsp;&nbsp;&nbsp; 297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-60, Class CS, IF, IO, 2.08%, 7/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-71, Class SC, IF, IO, 1.93%, 8/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-59, Class WA, 5.58%, 8/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 677 | &nbsp;&nbsp;&nbsp;&nbsp; 698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-76, Class US, IF, IO, 1.83%, 9/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 597 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class S, IF, IO, 2.13%, 9/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1244 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-25, Class SE, IF, IO, 3.53%, 9/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-97, Class WA, 6.08%, 11/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-93, Class AS, IF, IO, 1.63%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 654 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-96, Class SL, IF, IO, 1.93%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-95, Class DS, IF, IO, 3.23%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1067 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-163, Class WA, 5.84%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1432 | &nbsp;&nbsp;&nbsp;&nbsp; 1485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-6, Class W, 5.28%, 1/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1113 | &nbsp;&nbsp;&nbsp;&nbsp; 1154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SA, IF, IO, 2.03%, 2/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-11, Class SC, IF, IO, 2.08%, 2/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class SA, IF, IO, 1.88%, 2/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 466 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SH, IF, IO, 1.97%, 2/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-31, Class TS, IF, IO, 2.23%, 3/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 361 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-22, Class SA, IF, IO, 2.20%, 4/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-35, Class ZB, 5.50%, 5/16/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 6355 | &nbsp;&nbsp;&nbsp;&nbsp; 6648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-43, Class SA, IF, IO, 1.88%, 6/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 447 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-42, Class SC, IF, IO, 2.01%, 6/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 628 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-64, Class SN, IF, IO, 2.03%, 7/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 459 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-72, Class SM, IF, IO, 2.18%, 8/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 645 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-81, Class SB, IF, IO, 2.02%, 9/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1231 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 2009-75, Class MN, 5.50%, 9/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2607 | &nbsp;&nbsp;&nbsp;&nbsp; 2758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class AS, IF, IO, 2.33%, 11/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1040 | &nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &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; 3733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-91, Class W, 5.27%, 5/20/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1418 | &nbsp;&nbsp;&nbsp;&nbsp; 1472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class WA, 5.08%, 6/20/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-137, Class WA, 5.58%, 7/20/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 708 | &nbsp;&nbsp;&nbsp;&nbsp; 738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CP, 7.00%, 10/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1127 | &nbsp;&nbsp;&nbsp;&nbsp; 1209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-157, Class OP, PO, 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1447 | &nbsp;&nbsp;&nbsp;&nbsp; 1257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class SM, IF, IO, 2.53%, 5/20/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-26, Class AK, 4.70%, 9/20/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 867 | &nbsp;&nbsp;&nbsp;&nbsp; 883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-188, Class W, 4.54%, 10/20/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 926 | &nbsp;&nbsp;&nbsp;&nbsp; 937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WA, 4.52%, 11/16/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1249 | &nbsp;&nbsp;&nbsp;&nbsp; 1252 |
| &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; 1371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WC, 3.75%, 1/20/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1029 | &nbsp;&nbsp;&nbsp;&nbsp; 989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WB, 4.00%, 9/16/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 697 | &nbsp;&nbsp;&nbsp;&nbsp; 674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-41, Class W, 4.61%, 10/20/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1001 | &nbsp;&nbsp;&nbsp;&nbsp; 1012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-54, Class WA, 4.87%, 11/20/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp;&nbsp;&nbsp; 724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-91, Class WA, 4.41%, 4/20/2043 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 951 | &nbsp;&nbsp;&nbsp;&nbsp; 923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-78, Class SW, IF, IO, 2.03%, 6/20/2049 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5425 | &nbsp;&nbsp;&nbsp;&nbsp; 497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-123, Class LB, 1.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9921 | &nbsp;&nbsp;&nbsp;&nbsp; 8367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-134, Class ST, IF, IO, 3.11%, 9/20/2050 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39794 | &nbsp;&nbsp;&nbsp;&nbsp; 980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-9, Class P, 2.00%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 19852 | &nbsp;&nbsp;&nbsp;&nbsp; 17793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-201, Class Z, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 18141 | &nbsp;&nbsp;&nbsp;&nbsp; 13515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-114, Class BS, IF, 6.60%, 6/20/2052 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13247 | &nbsp;&nbsp;&nbsp;&nbsp; 14573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-133, Class ES, IF, 6.24%, 7/20/2052 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8361 | &nbsp;&nbsp;&nbsp;&nbsp; 8770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-121, Class S, IF, 6.40%, 7/20/2052 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10779 | &nbsp;&nbsp;&nbsp;&nbsp; 11765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-164, Class AO, PO, 10/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 8476 | &nbsp;&nbsp;&nbsp;&nbsp; 6831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-105, Class SM, IF, 4.30%, 6/20/2055 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23953 | &nbsp;&nbsp;&nbsp;&nbsp; 23396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FA, 4.67%, 3/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FG, 4.65%, 4/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H03, Class FA, 4.52%, 8/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H05, Class FB, 4.72%, 12/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp;&nbsp;&nbsp; 284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H06, Class FA, 4.67%, 2/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H21, Class CF, 4.92%, 5/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H19, Class FA, 4.69%, 8/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H26, Class JA, 4.77%, 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, 4.77%, 12/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1690 | &nbsp;&nbsp;&nbsp;&nbsp; 1691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H08, Class FB, 4.82%, 3/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 424 | &nbsp;&nbsp;&nbsp;&nbsp; 424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class MA, 4.77%, 4/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H08, Class FS, 4.92%, 4/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1388 | &nbsp;&nbsp;&nbsp;&nbsp; 1392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H15, Class FA, 4.67%, 5/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H26, Class MA, 4.77%, 7/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H18, Class NA, 4.74%, 8/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H28, Class FA, 4.80%, 9/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FE, 4.60%, 10/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 4.74%, 10/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 889 | &nbsp;&nbsp;&nbsp;&nbsp; 889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H02, Class HF, 4.52%, 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, 3.98%, 12/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9116 | &nbsp;&nbsp;&nbsp;&nbsp; 8548 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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-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, 4.54%, 1/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 823 | &nbsp;&nbsp;&nbsp;&nbsp; 821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H04, Class SA, 4.64%, 2/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 467 | &nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class FC, 4.67%, 2/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 515 | &nbsp;&nbsp;&nbsp;&nbsp; 515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class HA, 4.63%, 3/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 598 | &nbsp;&nbsp;&nbsp;&nbsp; 597 |
| &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, 4.69%, 5/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H14, Class FC, 4.69%, 6/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H01, Class FD, 4.87%, 1/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 653 | &nbsp;&nbsp;&nbsp;&nbsp; 655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H05, Class FA, 4.91%, 2/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2016 | &nbsp;&nbsp;&nbsp;&nbsp; 2022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H06, Class HB, 4.87%, 3/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp; 264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-57, Class PT, 4.50%, 4/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 9435 | &nbsp;&nbsp;&nbsp;&nbsp; 9320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H09, Class TA, 4.82%, 4/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 557 | &nbsp;&nbsp;&nbsp;&nbsp; 558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H10, Class TA, 4.82%, 4/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5241 | &nbsp;&nbsp;&nbsp;&nbsp; 5249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H11, Class VA, 4.72%, 6/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5704 | &nbsp;&nbsp;&nbsp;&nbsp; 5704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H15, Class FA, 4.72%, 7/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5171 | &nbsp;&nbsp;&nbsp;&nbsp; 5172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H17, Class FC, 4.72%, 7/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3151 | &nbsp;&nbsp;&nbsp;&nbsp; 3152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H19, Class FE, 4.69%, 9/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3430 | &nbsp;&nbsp;&nbsp;&nbsp; 3429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H20, Class LF, 4.82%, 10/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2549 | &nbsp;&nbsp;&nbsp;&nbsp; 2546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H02, Class FB, 4.72%, 12/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 496 | &nbsp;&nbsp;&nbsp;&nbsp; 496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H03, Class FA, 4.72%, 12/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp;&nbsp;&nbsp; 552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H05, Class FC, 4.70%, 2/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5968 | &nbsp;&nbsp;&nbsp;&nbsp; 5968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H06, Class FA, 4.70%, 2/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2633 | &nbsp;&nbsp;&nbsp;&nbsp; 2632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H07, Class ES, 4.86%, 2/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1258 | &nbsp;&nbsp;&nbsp;&nbsp; 1258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H08, Class FC, 4.70%, 3/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6319 | &nbsp;&nbsp;&nbsp;&nbsp; 6319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FC, 4.70%, 4/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FA, 4.70%, 5/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3050 | &nbsp;&nbsp;&nbsp;&nbsp; 3049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FD, 4.66%, 6/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1784 | &nbsp;&nbsp;&nbsp;&nbsp; 1782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FJ, 4.66%, 6/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2232 | &nbsp;&nbsp;&nbsp;&nbsp; 2231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H18, Class FA, 4.67%, 6/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1629 | &nbsp;&nbsp;&nbsp;&nbsp; 1629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FG, 4.66%, 7/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3931 | &nbsp;&nbsp;&nbsp;&nbsp; 3929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FL, 4.66%, 7/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3474 | &nbsp;&nbsp;&nbsp;&nbsp; 3472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H20, Class FA, 4.69%, 8/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3075 | &nbsp;&nbsp;&nbsp;&nbsp; 3075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H26, Class FG, 4.74%, 10/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1046 | &nbsp;&nbsp;&nbsp;&nbsp; 1046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H32, Class FH, 4.88%, 12/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1753 | &nbsp;&nbsp;&nbsp;&nbsp; 1757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H07, Class FB, 4.97%, 3/20/2066 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2086 | &nbsp;&nbsp;&nbsp;&nbsp; 2093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H11, Class FD, 5.08%, 5/20/2066 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4420 | &nbsp;&nbsp;&nbsp;&nbsp; 4452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H26, Class FC, 5.22%, 12/20/2066 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3621 | &nbsp;&nbsp;&nbsp;&nbsp; 3641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H08, Class XI, IO, 2.27%, 3/20/2067 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18919 | &nbsp;&nbsp;&nbsp;&nbsp; 768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class XI, IO, 1.87%, 6/20/2067 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18917 | &nbsp;&nbsp;&nbsp;&nbsp; 489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H09, Class FE, 4.54%, 6/20/2068 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1353 | &nbsp;&nbsp;&nbsp;&nbsp; 1356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H20, Class ID, IO, 1.27%, 12/20/2069 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16808 | &nbsp;&nbsp;&nbsp;&nbsp; 977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H02, Class MI, IO, 1.39%, 1/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36604 | &nbsp;&nbsp;&nbsp;&nbsp; 2067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H05, IO, 1.40%, 3/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34239 | &nbsp;&nbsp;&nbsp;&nbsp; 1954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, IO, 1.14%, 5/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40197 | &nbsp;&nbsp;&nbsp;&nbsp; 1977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, Class IC, IO, 1.47%, 5/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40551 | &nbsp;&nbsp;&nbsp;&nbsp; 2542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, Class CI, IO, 1.63%, 5/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37327 | &nbsp;&nbsp;&nbsp;&nbsp; 2580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H11, IO, 1.18%, 6/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22721 | &nbsp;&nbsp;&nbsp;&nbsp; 1246 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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-H12, Class IJ, IO, 1.32%, 7/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32484 | &nbsp;&nbsp;&nbsp;&nbsp; 1767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H12, Class HI, IO, 2.02%, 7/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28021 | &nbsp;&nbsp;&nbsp;&nbsp; 2363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H15, IO, 1.40%, 8/20/2070 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41209 | &nbsp;&nbsp;&nbsp;&nbsp; 2432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H14, Class BF, 5.50%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7937 | &nbsp;&nbsp;&nbsp;&nbsp; 8090 |
| &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; 31615 | &nbsp;&nbsp;&nbsp;&nbsp; 29775 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RPL4, Class A1, 3.90%, 9/25/2061 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 19416 | &nbsp;&nbsp;&nbsp;&nbsp; 19138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RPL3, Class A1, 4.10%, 7/25/2065 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 42712 | &nbsp;&nbsp;&nbsp;&nbsp; 41792 |
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1AF, 4.47%, 6/25/2034 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP2, Class 1AF, 4.42%, 3/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AS, IO, 0.10%, 9/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2103 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.42%, 9/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2853 | &nbsp;&nbsp;&nbsp;&nbsp; 2456 |
| &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; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &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; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5F, Class 8A3, 4.57%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR6, Class 3A1, 4.60%, 9/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1394 | &nbsp;&nbsp;&nbsp;&nbsp; 573 |
| &nbsp;&nbsp;&nbsp; Homeward Opportunities Fund Trust Series 2025-RRTL2, Class A1, 5.24%, 9/25/2040 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 24975 | &nbsp;&nbsp;&nbsp;&nbsp; 25054 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust Series 2005-4, Class 2A1, 4.67%, 5/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 342 | &nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 256 | &nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets Trust Series 2006-1, Class 2A1, 4.77%, 5/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp;&nbsp; 353 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A3, 6.30%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 287 | &nbsp;&nbsp;&nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A3, Class 6A1, 4.95%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 6.45%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 942 | &nbsp;&nbsp;&nbsp;&nbsp; 967 |
| &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, 6.74%, 9/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A4, 5.44%, 2/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A1, 6.05%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A2, 6.05%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 5.89%, 10/25/2066 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 15609 | &nbsp;&nbsp;&nbsp;&nbsp; 15612 |
| &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; 297 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A8, 6.00%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &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; 433 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 41700 | &nbsp;&nbsp;&nbsp;&nbsp; 41744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL3, Class A1, 5.24%, 8/25/2040 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 16785 | &nbsp;&nbsp;&nbsp;&nbsp; 16817 |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 2A1, 6.29%, 4/21/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp;&nbsp;&nbsp; 272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A2, 4.24%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-15, Class 3A1, 6.89%, 12/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 3A1, 6.00%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 592 | &nbsp;&nbsp;&nbsp;&nbsp; 604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 2A1, 6.25%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 30, PO, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &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; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 30, PO, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 3A1, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &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; 2 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class 6A1, 5.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1A6, 5.25%, 12/26/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-P7, Class A6, 5.50%, 12/27/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &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, 4.42%, 5/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4810 | &nbsp;&nbsp;&nbsp;&nbsp; 2281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 4.37%, 5/25/2036 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 482 | &nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp; MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-E, Class A1, 4.69%, 10/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-F, Class A1, 4.71%, 10/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A, Class A1, 4.53%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-C, Class A2, 5.26%, 7/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A5, Class 2A6, 6.29%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class A2, 5.12%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A1, 5.32%, 12/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A2, Class A1, 5.45%, 2/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp;&nbsp;&nbsp; 297 |
| &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; 15777 |
| &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; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A, 5.63%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp;&nbsp;&nbsp; 452 |
| &nbsp;&nbsp;&nbsp; MRFC Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-TBC2, Class A1, 4.55%, 6/15/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-TBC3, Class A1, 4.51%, 12/15/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 180 |
| &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; 12027 |
| &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; 46546 |
| &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; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A1, 5.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A2, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp; Ocwen Loan Investment Trust Series 2024-HB1, Class A, 3.00%, 2/25/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4343 | &nbsp;&nbsp;&nbsp;&nbsp; 4284 |
| &nbsp;&nbsp;&nbsp; PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17542 | &nbsp;&nbsp;&nbsp;&nbsp; 16962 |
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp; PRPM LLC Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8378 | &nbsp;&nbsp;&nbsp;&nbsp; 8280 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; Rain City Mortgage Trust Series 2024-RTL1, Class A1, 6.53%, 9/25/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39489 | &nbsp;&nbsp;&nbsp;&nbsp; 39949 |
| &nbsp;&nbsp;&nbsp; RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA6, Class A32, 6.84%, 5/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 598 | &nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QS1, Class 1A1, 6.00%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp; Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &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; 12 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class MTU, 3.25%, 11/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 66943 | &nbsp;&nbsp;&nbsp;&nbsp; 58694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class MTU, 3.25%, 6/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 72524 | &nbsp;&nbsp;&nbsp;&nbsp; 62648 |
| &nbsp;&nbsp;&nbsp; Seasoned Loans Structured Transaction Series 2018-1, Class A1, 3.50%, 6/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6293 | &nbsp;&nbsp;&nbsp;&nbsp; 6161 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A1, 4.77%, 9/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A2, 5.22%, 9/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 268 | &nbsp;&nbsp;&nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-10, Class A1A, 4.69%, 11/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-11, Class A1, 4.67%, 12/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-12, Class A3, 4.99%, 1/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp; Starwoood Anoo, 9.75%, 1/16/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 18619 | &nbsp;&nbsp;&nbsp;&nbsp; 18549 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR5, Class 1A1, 4.73%, 10/19/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR5, Class A3, 4.57%, 7/19/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 772 | &nbsp;&nbsp;&nbsp;&nbsp; 767 |
| &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; 658 | &nbsp;&nbsp;&nbsp;&nbsp; 651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF3, Class 1A, 4.42%, 6/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp; 252 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34A, Class 3A3, 5.62%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-37A, Class 2A, 5.50%, 12/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class A1, 4.71%, 9/25/2043 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 631 | &nbsp;&nbsp;&nbsp;&nbsp; 631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 3A, 5.23%, 12/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &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; 5851 | &nbsp;&nbsp;&nbsp;&nbsp; 5784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 86284 | &nbsp;&nbsp;&nbsp;&nbsp; 79082 |
| &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; 8463 |
| &nbsp;&nbsp;&nbsp; United Mortgage Mezz, 8.00%, 2/18/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 36000 | &nbsp;&nbsp;&nbsp;&nbsp; 36000 |
| &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; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-1, Class 2E, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-1, Class DZ, 4.25%, 4/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3155 | &nbsp;&nbsp;&nbsp;&nbsp; 3090 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S4, Class 2A10, IF, 6.27%, 6/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-RS2, Class A4, 5.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &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; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR7, Class A7, 5.65%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 1A6, 5.67%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1016 | &nbsp;&nbsp;&nbsp;&nbsp; 1008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 2A, 5.70%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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-S9, Class P, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &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; 772 | &nbsp;&nbsp;&nbsp;&nbsp; 770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR11, Class A6, 5.83%, 10/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A1, 5.37%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A2, 5.37%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp;&nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S2, Class 2A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 473 | &nbsp;&nbsp;&nbsp;&nbsp; 479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR10, Class 2P, 4.15%, 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, 4.53%, 8/25/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &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; 21 | &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; 247 | &nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A3, IF, IO, 0.93%, 4/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A4, IF, IO, 0.98%, 4/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2341 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CB7, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 747 | &nbsp;&nbsp;&nbsp;&nbsp; 696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 819 | &nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &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; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &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; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-PA3, Class 1A2, 5.75%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 79 | &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; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $2,425,172)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2387830 |
| **Commercial Mortgage-Backed Securities — 4.2%** | **Commercial Mortgage-Backed Securities — 4.2%** | **Commercial Mortgage-Backed Securities — 4.2%** |
| &nbsp;&nbsp;&nbsp; 20 Times Square Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-20TS, Class D, 3.20%, 5/15/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp; 19530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-20TS, Class E, 3.20%, 5/15/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13399 | &nbsp;&nbsp;&nbsp;&nbsp; 12160 |
| &nbsp;&nbsp;&nbsp; Acrc Series TL-2021A, 3.75%, 11/15/2026 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22200 | &nbsp;&nbsp;&nbsp;&nbsp; 21769 |
| &nbsp;&nbsp;&nbsp; Baml Pimco PIF (United Kingdom) 9.10%, 1/25/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp; BAML RCAP Frn |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 10/25/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 31573 | &nbsp;&nbsp;&nbsp;&nbsp; 31574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 10/25/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 26078 | &nbsp;&nbsp;&nbsp;&nbsp; 26078 |
| &nbsp;&nbsp;&nbsp; BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.35%, 8/15/2046 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7700 | &nbsp;&nbsp;&nbsp;&nbsp; 5316 |
| &nbsp;&nbsp;&nbsp; BAMLL Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR4, Class B, 1.06%, 11/27/2048 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5428 | &nbsp;&nbsp;&nbsp;&nbsp; 5449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR4, Class A, 1.09%, 11/27/2048 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43443 | &nbsp;&nbsp;&nbsp;&nbsp; 43564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR2, Class A, 2.45%, 7/27/2050 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13078 | &nbsp;&nbsp;&nbsp;&nbsp; 12329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR2, Class B, 2.48%, 7/27/2050 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17745 | &nbsp;&nbsp;&nbsp;&nbsp; 16600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR5, Class BK73, 2.05%, 2/27/2051 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20476 | &nbsp;&nbsp;&nbsp;&nbsp; 18994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR5, Class B736, 1.95%, 9/27/2052 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18347 | &nbsp;&nbsp;&nbsp;&nbsp; 17868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR5, Class A736, 1.96%, 9/27/2052 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15256 | &nbsp;&nbsp;&nbsp;&nbsp; 14882 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Commercial Mortgage Securities Trust Series 2007-T26, Class X1, IO, 1.17%, 1/12/2045 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 199 | &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; 5701 |
| &nbsp;&nbsp;&nbsp; Cascade Funding Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AKW1, 0.79%, 1/29/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16010 | &nbsp;&nbsp;&nbsp;&nbsp; 15842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class BKW1, 0.94%, 1/29/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14340 | &nbsp;&nbsp;&nbsp;&nbsp; 14160 |
| &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; 14416 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 AK98, 0.00%, 8/29/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22370 | &nbsp;&nbsp;&nbsp;&nbsp; 18548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AK58, 2.20%, 9/29/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28730 | &nbsp;&nbsp;&nbsp;&nbsp; 27908 |
| &nbsp;&nbsp;&nbsp; CD Mortgage Trust Series 2006-CD3, Class XS, IO, 0.19%, 10/15/2048 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 587 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust Series 2018-HOME, Class A, 3.94%, 4/10/2033 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 53745 | &nbsp;&nbsp;&nbsp;&nbsp; 52829 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class AX, IO, 0.03%, 1/15/2049 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14860 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &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; 13179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class B, 4.18%, 9/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25890 | &nbsp;&nbsp;&nbsp;&nbsp; 22334 |
| &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; 13957 |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust Series 2015-LCM, Class A2, 3.54%, 6/10/2034 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3889 |
| &nbsp;&nbsp;&nbsp; FHLMC MSCR Trust Series 2023-MN7, Class M1, 7.67%, 9/25/2043 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19133 | &nbsp;&nbsp;&nbsp;&nbsp; 19477 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &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; 17158 |
| &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; 14582 |
| &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; 18857 |
| &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; 21494 |
| &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; 1534 |
| &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; 12054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K087, Class A2, 3.77%, 12/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4037 | &nbsp;&nbsp;&nbsp;&nbsp; 4035 |
| &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; 354 |
| &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; 2827 |
| &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; 1097 |
| &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; 41693 |
| &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; 18832 |
| &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; 20228 |
| &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; 21290 |
| &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; 53016 |
| &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; 37298 |
| &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; 25255 |
| &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; 25050 |
| &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; 8460 |
| &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; 18161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q013, Class APT2, 1.17%, 5/25/2050 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13763 | &nbsp;&nbsp;&nbsp;&nbsp; 13282 |
| &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; 7950 | &nbsp;&nbsp;&nbsp;&nbsp; 7927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M3, Class A2, 2.56%, 12/25/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6458 | &nbsp;&nbsp;&nbsp;&nbsp; 6364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25862 | &nbsp;&nbsp;&nbsp;&nbsp; 25614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 21412 | &nbsp;&nbsp;&nbsp;&nbsp; 21174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M12, Class A2, 3.17%, 6/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22573 | &nbsp;&nbsp;&nbsp;&nbsp; 22263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M15, Class A2, 3.06%, 9/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7959 | &nbsp;&nbsp;&nbsp;&nbsp; 7851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M2, Class A2, 3.03%, 1/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16903 | &nbsp;&nbsp;&nbsp;&nbsp; 16586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M4, Class A2, 3.16%, 3/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15629 | &nbsp;&nbsp;&nbsp;&nbsp; 15393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M9, Class APT2, 3.21%, 4/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 54201 | &nbsp;&nbsp;&nbsp;&nbsp; 53247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M8, Class A2, 3.42%, 6/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27799 | &nbsp;&nbsp;&nbsp;&nbsp; 27486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M10, Class A2, 3.47%, 7/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43615 | &nbsp;&nbsp;&nbsp;&nbsp; 43262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class 2A1, 1.59%, 11/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5796 | &nbsp;&nbsp;&nbsp;&nbsp; 5488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class X2, IO, 2.10%, 11/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 47072 | &nbsp;&nbsp;&nbsp;&nbsp; 1837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M5, Class A2, 3.12%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3561 | &nbsp;&nbsp;&nbsp;&nbsp; 3474 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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-M7, Class A2, 3.14%, 4/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 32374 | &nbsp;&nbsp;&nbsp;&nbsp; 31587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M11, Class A2, 2.98%, 8/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12155 | &nbsp;&nbsp;&nbsp;&nbsp; 11737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M5, Class A2, 2.21%, 1/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 39202 | &nbsp;&nbsp;&nbsp;&nbsp; 36664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M3, Class A2, 3.18%, 2/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10248 | &nbsp;&nbsp;&nbsp;&nbsp; 9923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A2, 1.20%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9809 | &nbsp;&nbsp;&nbsp;&nbsp; 9423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class X1, IO, 1.93%, 10/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 159249 | &nbsp;&nbsp;&nbsp;&nbsp; 5636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1G, Class A2, 1.58%, 9/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28657 | &nbsp;&nbsp;&nbsp;&nbsp; 25167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M3, Class A2, 1.76%, 11/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 45000 | &nbsp;&nbsp;&nbsp;&nbsp; 39215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M10, Class A2, 1.99%, 1/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5800 | &nbsp;&nbsp;&nbsp;&nbsp; 5155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1S, Class A2, 2.15%, 4/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 48740 | &nbsp;&nbsp;&nbsp;&nbsp; 43235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M13, Class A2, 2.68%, 6/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60253 | &nbsp;&nbsp;&nbsp;&nbsp; 55127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M2S, Class A2, 3.88%, 8/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 56250 | &nbsp;&nbsp;&nbsp;&nbsp; 54709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M8, Class A1, 4.63%, 11/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10419 | &nbsp;&nbsp;&nbsp;&nbsp; 10589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M8, Class A2, 4.63%, 3/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 71540 | &nbsp;&nbsp;&nbsp;&nbsp; 72681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-M2, Class A1, 4.77%, 4/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12455 | &nbsp;&nbsp;&nbsp;&nbsp; 12754 |
| &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; 107427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class X1, IO, 2.00%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 109669 | &nbsp;&nbsp;&nbsp;&nbsp; 6810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M5, Class A1, 2.41%, 1/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13925 | &nbsp;&nbsp;&nbsp;&nbsp; 13185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M10, Class X, IO, 0.57%, 5/25/2049 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 65460 | &nbsp;&nbsp;&nbsp;&nbsp; 1757 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-KL05, Class BP, 4.09%, 6/25/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5645 | &nbsp;&nbsp;&nbsp;&nbsp; 5341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-KHG2, Class B, 3.17%, 2/25/2030 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 12301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-KHG2, Class C, 3.17%, 2/25/2030 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32666 | &nbsp;&nbsp;&nbsp;&nbsp; 28181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-KLU3, Class BFX, 4.40%, 1/25/2031 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9399 | &nbsp;&nbsp;&nbsp;&nbsp; 8783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-KW07, Class B, 4.25%, 10/25/2031 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K56, Class B, 4.09%, 6/25/2049 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8451 | &nbsp;&nbsp;&nbsp;&nbsp; 8396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K67, Class B, 4.08%, 9/25/2049 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 10391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K63, Class B, 4.01%, 2/25/2050 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K102, Class B, 3.65%, 12/25/2051 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K90, Class B, 4.47%, 2/25/2052 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp; 8489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K93, Class B, 4.26%, 5/25/2052 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K737, Class B, 3.44%, 1/25/2053 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9876 |
| &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; 15551 |
| &nbsp;&nbsp;&nbsp; GNMA Series 2021-211, Class AC, 1.30%, 1/16/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 7389 | &nbsp;&nbsp;&nbsp;&nbsp; 5524 |
| &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; 837 | &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; 8519 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust Series 2021-MHC, Class E, 6.17%, 4/15/2038 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12560 | &nbsp;&nbsp;&nbsp;&nbsp; 12560 |
| &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; 33833 |
| &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; 55766 |
| &nbsp;&nbsp;&nbsp; Multi-Family Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-01, Class M7, 8.07%, 11/25/2053 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41309 | &nbsp;&nbsp;&nbsp;&nbsp; 42950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-01, Class M7, 6.82%, 7/25/2054 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7485 | &nbsp;&nbsp;&nbsp;&nbsp; 7578 |
| &nbsp;&nbsp;&nbsp; P4 SFR Series 2019-STl A, 7.25%, 10/11/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 31509 | &nbsp;&nbsp;&nbsp;&nbsp; 31144 |
| &nbsp;&nbsp;&nbsp; PRM7 Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-PRM7, Class A, 4.51%, 11/10/2042 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26545 | &nbsp;&nbsp;&nbsp;&nbsp; 26273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-PRM7, Class B, 4.81%, 11/10/2042 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6865 | &nbsp;&nbsp;&nbsp;&nbsp; 6809 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 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; 34551 |
| &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; 47652 |
| &nbsp;&nbsp;&nbsp; RWC Commercial Mortgage Trust Series 2025-1, Class A, 5.01%, 6/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp; 11282 |
| &nbsp;&nbsp;&nbsp; SBALR Commercial Mortgage Trust Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19749 | &nbsp;&nbsp;&nbsp;&nbsp; 17483 |
| &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; 60366 |
| &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; 91 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.20%, 3/15/2045 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2193 |
| &nbsp;&nbsp;&nbsp; WHARF Commercial Mortgage Trust Series 2025-DC, Class A, 5.53%, 7/15/2040 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25880 | &nbsp;&nbsp;&nbsp;&nbsp; 26781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $2,288,612)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2232518 |
| **Foreign Government Securities — 0.7%** | **Foreign Government Securities — 0.7%** | **Foreign Government Securities — 0.7%** |
| &nbsp;&nbsp;&nbsp; Eagle Funding Luxco SARL 5.50%, 8/17/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 94917 | &nbsp;&nbsp;&nbsp;&nbsp; 96283 |
| &nbsp;&nbsp;&nbsp; Kingdom of Saudi Arabia 3.45%, 2/2/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4399 | &nbsp;&nbsp;&nbsp;&nbsp; 2911 |
| &nbsp;&nbsp;&nbsp; Republic of Chile 2.55%, 1/27/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9568 | &nbsp;&nbsp;&nbsp;&nbsp; 8578 |
| &nbsp;&nbsp;&nbsp; Republic of Peru 5.63%, 11/18/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp; 730 |
| &nbsp;&nbsp;&nbsp; Republic of Poland 5.50%, 3/18/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 18163 | &nbsp;&nbsp;&nbsp;&nbsp; 17695 |
| &nbsp;&nbsp;&nbsp; United Mexican States |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 5/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 19624 | &nbsp;&nbsp;&nbsp;&nbsp; 20620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.66%, 5/24/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 20674 | &nbsp;&nbsp;&nbsp;&nbsp; 18441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 7/2/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 33567 | &nbsp;&nbsp;&nbsp;&nbsp; 34641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/12/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6211 | &nbsp;&nbsp;&nbsp;&nbsp; 5388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 9/22/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 56562 | &nbsp;&nbsp;&nbsp;&nbsp; 56053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 5/7/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 8056 | &nbsp;&nbsp;&nbsp;&nbsp; 8235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 5/13/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 29236 | &nbsp;&nbsp;&nbsp;&nbsp; 31502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 1/29/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 22624 | &nbsp;&nbsp;&nbsp;&nbsp; 23868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 3/8/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3906 | &nbsp;&nbsp;&nbsp;&nbsp; 3250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 1/23/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 15089 | &nbsp;&nbsp;&nbsp;&nbsp; 12071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 1/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4228 | &nbsp;&nbsp;&nbsp;&nbsp; 3239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 2/10/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1928 | &nbsp;&nbsp;&nbsp;&nbsp; 1517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 2/12/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14965 | &nbsp;&nbsp;&nbsp;&nbsp; 11052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.34%, 5/4/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4796 | &nbsp;&nbsp;&nbsp;&nbsp; 4649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 5/24/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 11682 | &nbsp;&nbsp;&nbsp;&nbsp; 7307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/12/2110 | &nbsp;&nbsp;&nbsp;&nbsp; 5118 | &nbsp;&nbsp;&nbsp;&nbsp; 4391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Foreign Government Securities <br>(Cost $386,449)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 372421 |
| **U.S. Government Agency Securities — 0.3%** | **U.S. Government Agency Securities — 0.3%** | **U.S. Government Agency Securities — 0.3%** |
| &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; 19602 |
| &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; 25606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.93%, 2/11/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 31752 |
| &nbsp;&nbsp;&nbsp; Resolution Funding Corp. STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 3.52%, 1/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 30700 | &nbsp;&nbsp;&nbsp;&nbsp; 26310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 3.18%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 26456 | &nbsp;&nbsp;&nbsp;&nbsp; 22441 |
| &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; 36077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp; 551 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; 4.63%, 9/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 4157 | &nbsp;&nbsp;&nbsp;&nbsp; 3784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 9/15/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 2604 | &nbsp;&nbsp;&nbsp;&nbsp; 2182 |
| &nbsp;&nbsp;&nbsp; Tennessee Valley Authority STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 6.81%, 7/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3119 | &nbsp;&nbsp;&nbsp;&nbsp; 2833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 4.33%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 6.04%, 6/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp;&nbsp;&nbsp; 1476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Agency Securities <br>(Cost $181,593)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 175744 |
| **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; 2762 |
| &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; 13713 |
| &nbsp;&nbsp;&nbsp; State of California, Various Purpose, GO, 7.30%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp; 2834 |
| &nbsp;&nbsp;&nbsp; Total California |  | &nbsp;&nbsp;&nbsp;&nbsp; 19309 |
| **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; 2322 |
| &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; 11774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 165, Rev., 5.65%, 11/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3780 | &nbsp;&nbsp;&nbsp;&nbsp; 4059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 174, Rev., 4.46%, 10/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 17925 | &nbsp;&nbsp;&nbsp;&nbsp; 15403 |
| &nbsp;&nbsp;&nbsp; Total New York |  | &nbsp;&nbsp;&nbsp;&nbsp; 33558 |
| **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; 13497 |
| &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; 3097 |
| &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; 8160 |
| &nbsp;&nbsp;&nbsp; Ohio University, General Receipts, Federally Taxable, Rev., 5.59%, 12/1/2114 | &nbsp;&nbsp;&nbsp;&nbsp; 5822 | &nbsp;&nbsp;&nbsp;&nbsp; 5592 |
| &nbsp;&nbsp;&nbsp; Total Ohio |  | &nbsp;&nbsp;&nbsp;&nbsp; 30346 |
| **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; 10939 |
| &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; 27036 |
| &nbsp;&nbsp;&nbsp; Total Oklahoma |  | &nbsp;&nbsp;&nbsp;&nbsp; 37975 |
| **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; 8062 |
| **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; 11053 | &nbsp;&nbsp;&nbsp;&nbsp; 11392 |
| &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; 21373 |
| &nbsp;&nbsp;&nbsp; Total Texas |  | &nbsp;&nbsp;&nbsp;&nbsp; 32765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Municipal Bonds <br>(Cost $176,774)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 162015 |
| **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%, 1/15/2031 <br>(Cost $47,258)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 47800 | &nbsp;&nbsp;&nbsp;&nbsp; 46169 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS**  | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| **Short-Term Investments — 2.6%** | **Short-Term Investments — 2.6%** | **Short-Term Investments — 2.6%** |
| **Investment Companies — 2.6%** | **Investment Companies — 2.6%** | **Investment Companies — 2.6%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class Institutional Shares, 3.96% (k) (l) <br>(Cost $1,391,078)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1390740 | &nbsp;&nbsp;&nbsp;&nbsp; 1391296 |
| **Total Investments — 100.0%** <br>**(Cost $54,673,931)**<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; **53259238** |
| **Other Assets in Excess of Liabilities — 0.0% ^** |  | &nbsp;&nbsp;&nbsp;&nbsp; **13693** |
| **NET ASSETS — 100.0%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **53272931** |

---

&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 November 30, 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 |
| 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 November 30, 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>|
| 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 |

---

&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 November 30, 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 November 30, 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 November 30, 2025 is $9,222 or 0.02% of the Fund's net <br> assets as of November 30, 2025.<br>|

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Step bond. Interest rate is a fixed rate for an initial period that either resets
 at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November
 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Variable or floating rate security, the interest rate of which adjusts periodically
 based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of
 November 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) All or a portion of the security is a when-issued security, delayed delivery security,
 or forward commitment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Value is zero.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) The date shown represents the earliest of the prerefunded date, next put date or final
 maturity date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) Loan assignments are presented by obligor. Each series or loan tranche underlying
 each obligor may have varying terms.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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 Investment Management Inc.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) The rate shown is the current yield as of November 30, 2025.

**Futures contracts outstanding as of November 30, 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; 1380 | &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 156414 | &nbsp;&nbsp;&nbsp;&nbsp; (2)<br>|
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp;&nbsp; 13330 | &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 1548779 | &nbsp;&nbsp;&nbsp;&nbsp; 10080 |
| U.S. Treasury Long Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2460 | &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 288896 | &nbsp;&nbsp;&nbsp;&nbsp; 1764 |
| U.S. Treasury 2 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 11272 | &nbsp;&nbsp;&nbsp;&nbsp; 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2354263 | &nbsp;&nbsp;&nbsp;&nbsp; (193)<br>|
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 29414 | &nbsp;&nbsp;&nbsp;&nbsp; 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 3228646 | &nbsp;&nbsp;&nbsp;&nbsp; 3650 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 15299 |
| **Short Contracts** |  |  |  |  |  |
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;&nbsp; (3493)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (422435)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (3147)<br>|
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 12152 |

---

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

---

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

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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 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 November 30, 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.

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

(Dollar values in thousands)

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &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; $3886420 | &nbsp;&nbsp;&nbsp;&nbsp; $1887181 | &nbsp;&nbsp;&nbsp;&nbsp; $5773601 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2072231 | &nbsp;&nbsp;&nbsp;&nbsp; 315599 | &nbsp;&nbsp;&nbsp;&nbsp; 2387830 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2025540 | &nbsp;&nbsp;&nbsp;&nbsp; 206978 | &nbsp;&nbsp;&nbsp;&nbsp; 2232518 |
| Corporate Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Aerospace & Defense | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 275857 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 275857 |
| &nbsp;&nbsp;&nbsp; Automobiles | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 56904 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 56904 |
| &nbsp;&nbsp;&nbsp; Banks | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3917238 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3917238 |
| &nbsp;&nbsp;&nbsp; Beverages | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 72271 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 72271 |
| &nbsp;&nbsp;&nbsp; Biotechnology | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 219929 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 219929 |
| &nbsp;&nbsp;&nbsp; Broadline Retail | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 26673 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 26673 |
| &nbsp;&nbsp;&nbsp; Building Products | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 28094 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 28094 |
| &nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 930257 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 930257 |
| &nbsp;&nbsp;&nbsp; Chemicals | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 65163 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 65163 |
| &nbsp;&nbsp;&nbsp; Commercial Services & Supplies | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 85870 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 85870 |
| &nbsp;&nbsp;&nbsp; Construction & Engineering | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 44068 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 44068 |
| &nbsp;&nbsp;&nbsp; Construction Materials | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5779 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5779 |
| &nbsp;&nbsp;&nbsp; Consumer Finance | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 572142 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 572142 |
| &nbsp;&nbsp;&nbsp; Consumer Staples Distribution & Retail | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 37547 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 37547 |
| &nbsp;&nbsp;&nbsp; Containers & Packaging | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14965 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14965 |
| &nbsp;&nbsp;&nbsp; Diversified | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 186674 | &nbsp;&nbsp;&nbsp;&nbsp; 186674 |
| &nbsp;&nbsp;&nbsp; Diversified Consumer Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 24240 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 24240 |
| &nbsp;&nbsp;&nbsp; Diversified REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 43662 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 43662 |
| &nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 93595 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 93595 |
| &nbsp;&nbsp;&nbsp; Electric Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1466402 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1466402 |
| &nbsp;&nbsp;&nbsp; Electronic Equipment, Instruments & Components | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 34168 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 34168 |
| &nbsp;&nbsp;&nbsp; Energy Equipment & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8397 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8397 |
| &nbsp;&nbsp;&nbsp; Financial Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 291969 | &nbsp;&nbsp;&nbsp;&nbsp; 297652 | &nbsp;&nbsp;&nbsp;&nbsp; 589621 |
| &nbsp;&nbsp;&nbsp; Food Products | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 236132 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 236132 |
| &nbsp;&nbsp;&nbsp; Gas Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 48048 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 48048 |
| &nbsp;&nbsp;&nbsp; Ground Transportation | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 77244 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 77244 |
| &nbsp;&nbsp;&nbsp; Health Care Equipment & Supplies | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 55605 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 55605 |
| &nbsp;&nbsp;&nbsp; Health Care Providers & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 581219 | &nbsp;&nbsp;&nbsp;&nbsp; 108745 | &nbsp;&nbsp;&nbsp;&nbsp; 689964 |
| &nbsp;&nbsp;&nbsp; Health Care REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 41425 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 41425 |
| &nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9353 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9353 |
| &nbsp;&nbsp;&nbsp; Independent Power and Renewable Electricity Producers | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 109067 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 109067 |
| &nbsp;&nbsp;&nbsp; Industrial Conglomerates | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 22663 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 22663 |
| &nbsp;&nbsp;&nbsp; Industrial REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25037 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25037 |
| &nbsp;&nbsp;&nbsp; Insurance | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 336056 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 336056 |
| &nbsp;&nbsp;&nbsp; Interactive Media & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 142612 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 142612 |
| &nbsp;&nbsp;&nbsp; IT Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 57957 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 57957 |
| &nbsp;&nbsp;&nbsp; Life Sciences Tools & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5039 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5039 |
| &nbsp;&nbsp;&nbsp; Machinery | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16809 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16809 |
| &nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 232658 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 232658 |
| &nbsp;&nbsp;&nbsp; Metals & Mining | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 96467 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 96467 |
| &nbsp;&nbsp;&nbsp; Mortgage Real Estate Investment Trusts (REITs) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 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; Multi-Utilities | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $186726 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $186726 |
| &nbsp;&nbsp;&nbsp; Office REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9451 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9451 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 703325 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 703325 |
| &nbsp;&nbsp;&nbsp; Passenger Airlines | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14644 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14644 |
| &nbsp;&nbsp;&nbsp; Pharmaceuticals | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 182561 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 182561 |
| &nbsp;&nbsp;&nbsp; Real Estate Management & Development | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 6531 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 6531 |
| &nbsp;&nbsp;&nbsp; Residential REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 39021 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 39021 |
| &nbsp;&nbsp;&nbsp; Retail REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 32815 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 32815 |
| &nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 214678 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 214678 |
| &nbsp;&nbsp;&nbsp; Software | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 198345 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 198345 |
| &nbsp;&nbsp;&nbsp; Specialized REITs | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 85761 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 85761 |
| &nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15356 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15356 |
| &nbsp;&nbsp;&nbsp; Technology Hardware, Storage & Peripherals | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 140483 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 140483 |
| &nbsp;&nbsp;&nbsp; Tobacco | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 55363 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 55363 |
| &nbsp;&nbsp;&nbsp; Trading Companies & Distributors | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 34343 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 34343 |
| &nbsp;&nbsp;&nbsp; Water Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5676 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5676 |
| &nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 76674 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 76674 |
| &nbsp;&nbsp;&nbsp; Total Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12410334 | &nbsp;&nbsp;&nbsp;&nbsp; 653071 | &nbsp;&nbsp;&nbsp;&nbsp; 13063405 |
| Foreign Government Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 372421 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 372421 |
| Loan Assignments | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 46169 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 46169 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11345363 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11345363 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 162015 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 162015 |
| U.S. Government Agency Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 175744 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 175744 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16308876 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16308876 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp; 1391296 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1391296 |
| **Total Investments in Securities** | &nbsp;&nbsp;&nbsp;&nbsp; $1391296 | &nbsp;&nbsp;&nbsp;&nbsp; $48805113 | &nbsp;&nbsp;&nbsp;&nbsp; $3062829 | &nbsp;&nbsp;&nbsp;&nbsp; $53259238 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $15494 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $15494 |
| **Depreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $(3342)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(3342)<br>|
| **Total Net Appreciation/ Depreciation in Other** <br>**Financial Instruments**<br>| &nbsp;&nbsp;&nbsp;&nbsp; $12152 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $12152 |

---

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

(Dollar values in thousands)

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>| **Other**<sup>(a)</sup> <br>| **Balance as of** <br>**November 30,** <br>**2025**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $1761818 | &nbsp;&nbsp; $6476 | &nbsp;&nbsp; $8317 | &nbsp;&nbsp; $601 | &nbsp;&nbsp; $585635 | &nbsp;&nbsp; $(465210)<br>| &nbsp;&nbsp; $41332 | &nbsp;&nbsp; $(92891)<br>| &nbsp;&nbsp; $41103 | &nbsp;&nbsp; $1887181 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 438311 | &nbsp;&nbsp; 15 | &nbsp;&nbsp; 1545 | &nbsp;&nbsp; 62 | &nbsp;&nbsp; 18690 | &nbsp;&nbsp; (148921)<br>| &nbsp;&nbsp; —<br> (b)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 5897 | &nbsp;&nbsp; 315599 |
| &nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed <br> Securities<br>| &nbsp;&nbsp; 89436 | &nbsp;&nbsp; — | &nbsp;&nbsp; 807 | &nbsp;&nbsp; 168 | &nbsp;&nbsp; 37253 | &nbsp;&nbsp; (44931)<br>| &nbsp;&nbsp; 78830 | &nbsp;&nbsp; — | &nbsp;&nbsp; 45415 | &nbsp;&nbsp; 206978 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | &nbsp;&nbsp; 106088 | &nbsp;&nbsp; — | &nbsp;&nbsp; 437 | &nbsp;&nbsp; (50)<br>| &nbsp;&nbsp; 568924 | &nbsp;&nbsp; (22328)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 653071 |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | &nbsp;&nbsp; 92415 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; (92415)<br>| &nbsp;&nbsp; — |
| **Total** | &nbsp;&nbsp; $2488068 | &nbsp;&nbsp; $6491 | &nbsp;&nbsp; $11106 | &nbsp;&nbsp; $781 | &nbsp;&nbsp; $1210502 | &nbsp;&nbsp; $(681390)<br>| &nbsp;&nbsp; $120162 | &nbsp;&nbsp; $(92891)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $3062829 |

---

&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) Certain Level 3 investments were re-classified between Mortgage-Backed Securities,
 Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage-Backed Securities.

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

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2025, which were valued using significant unobservable inputs (level 3) amounted to $11,106.

There were no significant transfers into or out of level 3 for the period ended November 30, 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> **November 30, 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; $237905 | Discounted Cash Flow | Constant Default Rate | 0.00% - 49.00% (0.33%) |
|  |  |  | Constant Prepayment Rate | 0.00% - 8.00% (4.70%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 4.85% - 18.52% (5.67%) |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; 237905 |  |  |  |
|  | &nbsp;&nbsp; 15084 | Discounted Cash Flow | Constant Prepayment Rate | 35.00% - 100.00% (81.54%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 4.90% - 5.16% (4.97%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations<br>| &nbsp;&nbsp; 15084 |  |  |  |
|  | &nbsp;&nbsp; 51745 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 5.35% - 5.60% (5.48%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial <br> Mortgage-Backed <br> Securities<br>| &nbsp;&nbsp; 51745 |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | &nbsp;&nbsp; $304734 |  |  |  |

---

&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 November 30, 2025, the value of these investments was $2,758,095. 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.

------

**JPMorgan Core Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

(Dollar values in thousands)

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

**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 November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 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>**November 30,** <br>**2025**<br>| **Shares at** <br>**November 30,** <br>**2025**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund <br> Class Institutional Shares, 3.96% <br> (a) (b)<br>| $1927258 | $10158580 | $10694490 | $164 | $(216)<br>| $1391296 | 1390740 | $48532 | $— |

---

&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 November 30, 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:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **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:** 2025-11-30

**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:** $53672284833.13

**Total Liabilities:** $369838188.71

**Net Assets:** $53302446644.42

**Cash Not Reported:** $11965982.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 25294.20314000 | **1-Year:** 1006174.54941000 | **5-Year:** 6172923.42785000 | **10-Year:** 7467400.80784000 | **30-Year:** 3031555.08544000

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

- **3-Month:** 1681.04122000 | **1-Year:** 181817.64152000 | **5-Year:** 287388.12160000 | **10-Year:** 15262.39464000 | **30-Year:** 477.90134000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009615 | 1.01%                | 0.53%                | 0.72%                |
| Class ID C000009616 | 0.99%                | 0.50%                | 0.69%                |
| Class ID C000009618 | 0.93%                | 0.55%                | 0.65%                |
| Class ID C000009619 | 1.02%                | 0.64%                | 0.73%                |
| Class ID C000033520 | 1.02%                | 0.53%                | 0.72%                |
| Class ID C000070638 | 0.96%                | 0.57%                | 0.67%                |
| Class ID C000173234 | 0.88%                | 0.60%                | 0.69%                |
| Class ID C000173235 | 1.00%                | 0.53%                | 0.71%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3328221.60             | $339058406.63                              |
| Month 2  | $-3707502.55             | $119182818.19                              |
| Month 3  | $-57720948.36            | $244938587.37                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   15800000 | PA      | $15053544.64   | 0.03%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   17700000 | PA      | $17996357.12   | 0.03%             | 2027-09-18      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   19600000 | PA      | $20394851.54   | 0.04%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $2782534.94    | 0.01%             | 2049-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $1850783.45    | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAQ2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    4030000 | PA      | $3994412.24    | 0.01%             | 2053-03-15      | Fixed         | 5.40%                 | 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      | $10999588.93   | 0.02%             | 2041-03-15      | Fixed         | 5.88%                 | 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      | $1215116.25    | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | 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      | $1682538.63    | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AHS Hospital Corp.                                                    | AHS Hospital Corp.                                                                                                       | CUSIP: 001306AB5<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |   14094000 | PA      | $13512439.14   | 0.03%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                       | AES Corp. (The)                                                                                                          | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   29565000 | PA      | $30376230.19   | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                        | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    7535000 | PA      | $6018242.18    | 0.01%             | 2040-09-16      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    7745000 | PA      | $8239100.10    | 0.02%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   42860000 | PA      | $45582384.91   | 0.09%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                         | AIB Group plc                                                                                                            | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   16965000 | PA      | $17540559.34   | 0.03%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                                             | Corebridge Global Funding                                                                                                | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    4955000 | PA      | $5004276.14    | 0.01%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  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      | $9259583.49    | 0.02%             | 2032-03-15      | Fixed         | 6.90%                 | Yes           |                  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      | $11669432.08   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  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      | $11423264.58   | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  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      | $11407473.11   | 0.02%             | 2041-11-17      | Fixed         | 4.15%                 | 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      | $27652110.14   | 0.05%             | 2039-03-17      | Fixed         | 4.39%                 | Yes           |                  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      | $69950.85      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   35836000 | PA      | $28580095.87   | 0.05%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   16997000 | PA      | $12211533.40   | 0.02%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3535000 | PA      | $3361775.46    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   26520000 | PA      | $23388826.03   | 0.04%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   25312000 | PA      | $17346455.09   | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4454000 | PA      | $3164047.22    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   12902000 | PA      | $11720937.89   | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   15614000 | PA      | $15493098.14   | 0.03%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2145000 | PA      | $1903122.83    | 0.00%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   33708000 | PA      | $30498518.74   | 0.06%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10194000 | PA      | $8605677.86    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    3881000 | PA      | $3865514.50    | 0.01%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    9850000 | PA      | $9111586.77    | 0.02%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6496153.86    | 0.01%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   10770000 | PA      | $11170121.87   | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | 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        |     924728 | PA      | $909815.78     | 0.00%             | 2044-12-26      | Floating      | 4.99%                 | Yes           |                  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        |    1533725 | PA      | $1518551.60    | 0.00%             | 2033-12-02      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                               | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   21060000 | PA      | $21110956.57   | 0.04%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                               | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   14250000 | PA      | $14146261.71   | 0.03%             | 2034-10-04      | Fixed         | 4.50%                 | 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      | $38787299.89   | 0.07%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12605000 | PA      | $11676455.83   | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | 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      | $3927999.86    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | 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      | $23188478.84   | 0.04%             | 2029-09-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   14740000 | PA      | $14651071.37   | 0.03%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    2959000 | PA      | $3302596.77    | 0.01%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    1777000 | PA      | $1542187.77    | 0.00%             | 2042-05-15      | Fixed         | 4.50%                 | 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        |    5519685 | PA      | $5279229.12    | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  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        |    5319506 | PA      | $5048554.45    | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  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        |    2893013 | PA      | $2855638.36    | 0.01%             | 2027-03-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Airbus SE                                                             | Airbus SE                                                                                                                | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    1046000 | PA      | $876532.54     | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                                        | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   11525000 | PA      | $12047997.35   | 0.02%             | 2031-10-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                                        | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     150000 | PA      | $153495.96     | 0.00%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Aker BP ASA                                                           | Aker BP ASA                                                                                                              | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    6320000 | PA      | $5851042.29    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $2099854.54    | 0.00%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FB9<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     769000 | PA      | $836484.20     | 0.00%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FG8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     923000 | PA      | $800272.11     | 0.00%             | 2042-01-15      | Fixed         | 4.10%                 | 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      | $27325859.84   | 0.05%             | 2028-07-31      | Fixed         | 7.47%                 | Yes           |                  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      | $2194741.17    | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | 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      | $7062386.89    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | 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      | $2475263.17    | 0.00%             | 2053-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Alleghany Corp.                                                       | Alleghany Corp.                                                                                                          | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |    8945000 | PA      | $8760085.29    | 0.02%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  338195000 | PA      | $287689645.24  | 0.54%             | 2055-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                            | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22300000 | PA      | $21237085.89   | 0.04%             | 2055-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32326802 | PA      | $32326801.59   | 0.06%             | 2035-11-15      | Fixed         | 5.60%                 | No            |                  3 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7168242 | PA      | $7168242.02    | 0.01%             | 2035-11-15      | Fixed         | 6.33%                 | No            |                  3 | On Loan: No      |
| Alternative LN Issuer LLC                                             | Alternative LN Issuer LLC                                                                                                | CUSIP: 02158AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14835715 | PA      | $14835715.36   | 0.03%             | 2035-11-15      | Fixed         | 6.82%                 | No            |                  3 | On Loan: No      |
| Altria Group, Inc.                                                    | Altria Group, Inc.                                                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   27925000 | PA      | $24751961.28   | 0.05%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CC8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $4636058.98    | 0.01%             | 2061-05-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   27400000 | PA      | $22036553.85   | 0.04%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                                   | Amcor Flexibles North America, Inc.                                                                                      | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6157575.60    | 0.01%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  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      | $7085388.04    | 0.01%             | 2049-04-22      | Fixed         | 4.38%                 | 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        |    4249000 | PA      | $4141713.60    | 0.01%             | 2028-06-15      | Fixed         | 3.65%                 | 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        |    8819130 | PA      | $8511535.50    | 0.02%             | 2030-07-11      | Fixed         | 3.95%                 | 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        |    6710899 | PA      | $6480429.01    | 0.01%             | 2028-10-15      | Fixed         | 3.00%                 | 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        |    5682357 | PA      | $5653323.20    | 0.01%             | 2026-10-01      | Fixed         | 3.70%                 | 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        |   14606355 | PA      | $14324251.08   | 0.03%             | 2027-09-22      | Fixed         | 4.00%                 | 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        |    6635883 | PA      | $6327020.62    | 0.01%             | 2029-10-15      | Fixed         | 3.60%                 | 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        |    9468173 | PA      | $9545296.57    | 0.02%             | 2030-09-12      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   14285000 | PA      | $14772664.62   | 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      | $5981792.16    | 0.01%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   16625000 | PA      | $17030933.29   | 0.03%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                  | American Express Co.                                                                                                     | CUSIP: 025816EM7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   28320000 | PA      | $28178029.86   | 0.05%             | 2036-10-24      | Variable      | 4.80%                 | 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        |       1130 | PA      | $1280.69       | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  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      | $13496879.02   | 0.03%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    4378000 | PA      | $4352022.48    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    8940000 | PA      | $8122614.82    | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   19410000 | PA      | $17302601.95   | 0.03%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XCF5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   17280000 | PA      | $18537926.98   | 0.03%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAD7<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $3837942.52    | 0.01%             | 2037-10-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    2241000 | PA      | $1838085.68    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                         | Cencora, Inc.                                                                                                            | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   30700000 | PA      | $31722571.87   | 0.06%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   17300000 | PA      | $15162770.80   | 0.03%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    6415000 | PA      | $5132155.63    | 0.01%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   17235000 | PA      | $17912228.99   | 0.03%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   23181000 | PA      | $23684766.94   | 0.04%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   16083000 | PA      | $16158087.99   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7514071.05    | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Amphenol Corp.                                                        | Amphenol Corp.                                                                                                           | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   28740000 | PA      | $27996915.80   | 0.05%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                                  | Analog Devices, Inc.                                                                                                     | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $3962084.46    | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                 | Anchor Mortgage Trust                                                                                                    | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   80000000 | PA      | $81036720.00   | 0.15%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                               | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21807000 | PA      | $21791196.25   | 0.04%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  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      | $630784.66     | 0.00%             | 2059-01-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    5485000 | PA      | $5487174.97    | 0.01%             | 2028-03-01      | Fixed         | 4.10%                 | 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      | $35912613.01   | 0.07%             | 2034-03-01      | Fixed         | 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        |    9050000 | PA      | $9174051.70    | 0.02%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co.                                                 | Appalachian Power Co., Series P                                                                                          | CUSIP: 037735CK1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $4219953.41    | 0.01%             | 2037-08-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   14187000 | PA      | $11308184.88   | 0.02%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    3512000 | PA      | $2908523.77    | 0.01%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   13570000 | PA      | $10977705.26   | 0.02%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1297023.63    | 0.00%             | 2047-11-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   57605000 | PA      | $36974296.91   | 0.07%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $4258133.22    | 0.01%             | 2062-08-08      | Fixed         | 4.10%                 | 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        |    1734155 | PA      | $1694700.40    | 0.00%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | 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        |    1930821 | PA      | $1853784.82    | 0.00%             | 2046-07-17      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Arizona Public Service Co.                                            | Arizona Public Service Co.                                                                                               | CUSIP: 040555CM4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    3036000 | PA      | $2929890.62    | 0.01%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                                              | Arthur J Gallagher & Co.                                                                                                 | CUSIP: 04316JAJ8<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    9570000 | PA      | $9537714.55    | 0.02%             | 2054-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4250000 | PA      | $4904245.81    | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    4270000 | PA      | $3736599.50    | 0.01%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                 | Athene Global Funding                                                                                                    | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   42215000 | PA      | $41732842.22   | 0.08%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    7215000 | PA      | $6225098.32    | 0.01%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1501762.29    | 0.00%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4908127.62    | 0.01%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty. Ltd.                                             | Ausgrid Finance Pty. Ltd.                                                                                                | CUSIP: 052113AB3<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |    1500000 | PA      | $1505608.28    | 0.00%             | 2028-08-01      | Fixed         | 4.35%                 | Yes           |                  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      | $1836330.67    | 0.00%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| AutoZone, Inc.                                                        | AutoZone, Inc.                                                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   12180000 | PA      | $10674654.31   | 0.02%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20532227.00   | 0.04%             | 2029-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    9650000 | PA      | $9814979.58    | 0.02%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  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      | $23719794.80   | 0.04%             | 2030-06-20      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   29066000 | PA      | $29009321.30   | 0.05%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   41007000 | PA      | $41036525.04   | 0.08%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   56405000 | PA      | $56389770.65   | 0.11%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   28294000 | PA      | $28079814.42   | 0.05%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   29501000 | PA      | $28519206.72   | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   25172000 | PA      | $25454681.56   | 0.05%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   19965000 | PA      | $20299813.05   | 0.04%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  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      | $12329217.80   | 0.02%             | 2050-07-27      | Variable      | 2.45%                 | Yes           |                  3 | 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      | $16599810.45   | 0.03%             | 2050-07-27      | Variable      | 2.48%                 | Yes           |                  3 | 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      | $43563988.76   | 0.08%             | 2048-11-27      | Variable      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                  | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class B                                                                          | CUSIP: 05493VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5428000 | PA      | $5448854.38    | 0.01%             | 2048-11-27      | Variable      | 1.06%                 | Yes           |                  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      | $14882353.10   | 0.03%             | 2052-09-27      | Variable      | 1.96%                 | Yes           |                  3 | 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      | $17868238.70   | 0.03%             | 2052-09-27      | Variable      | 1.95%                 | Yes           |                  3 | 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      | $18993955.31   | 0.04%             | 2051-02-27      | Variable      | 2.05%                 | Yes           |                  3 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2645598.85    | 0.00%             | 2041-10-11      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    5645000 | PA      | $3858398.99    | 0.01%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   14745000 | PA      | $13122076.24   | 0.02%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  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      | $5315567.18    | 0.01%             | 2046-08-15      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    9875000 | PA      | $9147395.29    | 0.02%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   12507000 | PA      | $10551635.36   | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                                         | BAT International Finance plc                                                                                            | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   11000000 | PA      | $10912497.42   | 0.02%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BG Energy Capital plc                                                 | BG Energy Capital plc                                                                                                    | CUSIP: 05541VAF3<br>LEI: S2M8QDKEE05NZN8JD460 | Long             | DBT              | CORP              | GB        |    5781000 | PA      | $5639620.21    | 0.01%             | 2041-10-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   23410000 | PA      | $23880986.96   | 0.04%             | 2027-10-19      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   29400000 | PA      | $31273916.60   | 0.06%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   21875000 | PA      | $24588782.53   | 0.05%             | 2034-10-19      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11526000 | PA      | $11962056.01   | 0.02%             | 2030-01-18      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    9560000 | PA      | $9885859.39    | 0.02%             | 2029-05-30      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11880000 | PA      | $12535270.98   | 0.02%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   11450000 | PA      | $11990865.83   | 0.02%             | 2031-01-14      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   14995000 | PA      | $16185106.97   | 0.03%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05578AE46<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2915000 | PA      | $2946333.22    | 0.01%             | 2027-07-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2500000 | PA      | $2567633.93    | 0.00%             | 2029-06-12      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   20560000 | PA      | $21106636.33   | 0.04%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   15245000 | PA      | $13557540.25   | 0.03%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   17265000 | PA      | $17297759.82   | 0.03%             | 2027-01-18      | Variable      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| BG Beta I Ltd.                                                        | BG Beta Ltd.                                                                                                             | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   60450000 | PA      | $62124646.35   | 0.12%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| BG Beta I Ltd.                                                        | BG Beta I Ltd.                                                                                                           | CUSIP: 05593PAG1<br>LEI: 254900Z3OU5JTNX05R08 | Long             | DBT              | CORP              | KY        |   54725000 | PA      | $54725000.00   | 0.10%             | 2054-07-16      | Variable      | 0.00%                 | No            |                  3 | 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      | $5701086.97    | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   43095000 | PA      | $44420609.53   | 0.08%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   49665000 | PA      | $52739457.19   | 0.10%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| BVRT LLC                                                              | BVRT LLC, Series 2025-1, Class C                                                                                         | CUSIP: 05614UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15140988 | PA      | $14419056.97   | 0.03%             | 2033-05-10      | Floating      | 4.19%                 | Yes           |                  3 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    3755000 | PA      | $2827794.60    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | 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      | $5567021.01    | 0.01%             | 2049-09-15      | Fixed         | 3.20%                 | 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      | $5080367.41    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | 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      | $17594736.94   | 0.03%             | 2054-06-01      | Fixed         | 5.65%                 | 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        |      23412 | PA      | $15493.53      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  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        |      69623 | PA      | $49951.24      | 0.00%             | 2034-03-25      | None          | 0.00%                 | 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        |     103312 | PA      | $94484.75      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  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        |      62277 | PA      | $62057.93      | 0.00%             | 2035-11-25      | 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        |       7310 | PA      | $3184.62       | 0.00%             | 2019-07-25      | None          | 0.00%                 | 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        |      27441 | PA      | $17904.42      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    6400000 | PA      | $6277438.53    | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   37800000 | PA      | $39212125.60   | 0.07%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   17400000 | PA      | $18345892.71   | 0.03%             | 2031-07-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   21200000 | PA      | $21372375.08   | 0.04%             | 2035-11-06      | Fixed         | 5.13%                 | 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        |      12310 | PA      | $11505.86      | 0.00%             | 2033-04-25      | Variable      | 7.00%                 | 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        |      56120 | PA      | $55263.51      | 0.00%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6055000 | PA      | $6067911.26    | 0.01%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   54117000 | PA      | $40715444.47   | 0.08%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9615000 | PA      | $9465389.83    | 0.02%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22915000 | PA      | $21096933.98   | 0.04%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   19870000 | PA      | $18029411.10   | 0.03%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   26230000 | PA      | $26987801.49   | 0.05%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   28820000 | PA      | $31066146.93   | 0.06%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   53000000 | PA      | $55937855.72   | 0.10%             | 2036-01-24      | Variable      | 5.51%                 | 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      | $33782688.32   | 0.06%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  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      | $34658464.92   | 0.07%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                                      | Bank of Montreal                                                                                                         | CUSIP: 06368MXV1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   20510000 | PA      | $20542614.39   | 0.04%             | 2031-09-22      | Variable      | 4.35%                 | 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      | $22050457.56   | 0.04%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                                   | Bank of New Zealand                                                                                                      | CUSIP: 06407EAH8<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |   16360000 | PA      | $16861267.78   | 0.03%             | 2029-01-30      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                             | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    7526000 | PA      | $7717226.78    | 0.01%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Banner Health                                                         | Banner Health                                                                                                            | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |   13950000 | PA      | $12554524.44   | 0.02%             | 2031-01-01      | Fixed         | 1.90%                 | 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      | $14179271.03   | 0.03%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  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      | $23355872.58   | 0.04%             | 2026-10-04      | Fixed         | 1.60%                 | Yes           |                  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      | $25167016.20   | 0.05%             | 2028-07-13      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10428000 | PA      | $9497378.79    | 0.02%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $8557868.94    | 0.02%             | 2027-05-09      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    7324000 | PA      | $7921645.65    | 0.01%             | 2034-05-09      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   52040000 | PA      | $52929442.18   | 0.10%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   10846000 | PA      | $11062488.00   | 0.02%             | 2030-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   17715000 | PA      | $18354168.54   | 0.03%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   16020000 | PA      | $16911207.18   | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | 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        |   50720924 | PA      | $51137545.91   | 0.10%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| Bastion Funding I LLC                                                 | Bastion Funding I LLC                                                                                                    | CUSIP: 07030UAG7<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   12995860 | PA      | $13060839.17   | 0.02%             | 2038-10-25      | Fixed         | 7.80%                 | No            |                  3 | On Loan: No      |
| Baxalta, Inc.                                                         | Baxalta, Inc.                                                                                                            | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |     327000 | PA      | $317553.48     | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | 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      | $7435642.88    | 0.01%             | 2050-11-15      | Fixed         | 3.83%                 | 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        |     162696 | PA      | $151262.65     | 0.00%             | 2034-05-25      | Variable      | 4.50%                 | 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        |     332130 | PA      | $329776.80     | 0.00%             | 2033-01-25      | Variable      | 6.12%                 | Yes           |                  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        |      11108 | PA      | $11144.59      | 0.00%             | 2033-10-25      | Variable      | 6.86%                 | 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        |     361032 | PA      | $351858.15     | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | 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        |     198873 | PA      | $15.39         | 0.00%             | 2045-01-12      | Variable      | 1.17%                 | Yes           |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                                | Becton Dickinson & Co.                                                                                                   | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    2098000 | PA      | $1600778.76    | 0.00%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BU4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   13241000 | PA      | $12405565.86   | 0.02%             | 2042-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    2795000 | PA      | $2524590.63    | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   24230000 | PA      | $19100065.35   | 0.04%             | 2052-03-15      | Fixed         | 3.85%                 | 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      | $2742484.16    | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                              | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    3406000 | PA      | $3559951.20    | 0.01%             | 2029-01-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                              | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    5080000 | PA      | $5185206.80    | 0.01%             | 2036-01-09      | Fixed         | 5.38%                 | 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      | $2700359.26    | 0.01%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   12958000 | PA      | $11855153.04   | 0.02%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   26260000 | PA      | $27228379.78   | 0.05%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   76360000 | PA      | $78660422.89   | 0.15%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   32240000 | PA      | $34007665.36   | 0.06%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9560000 | PA      | $9514931.39    | 0.02%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5076000 | PA      | $4631731.22    | 0.01%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    9155000 | PA      | $9244997.68    | 0.02%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12565000 | PA      | $12908516.67   | 0.02%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $13941933.74   | 0.03%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   14590000 | PA      | $15037628.06   | 0.03%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   10982000 | PA      | $10950172.74   | 0.02%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   22360000 | PA      | $22270078.81   | 0.04%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   11580000 | PA      | $12599221.11   | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   19270000 | PA      | $21427825.31   | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                        | Boston Gas Co.                                                                                                           | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    2201000 | PA      | $1919393.76    | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AE7<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $15773646.00   | 0.03%             | 2035-11-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    5011000 | PA      | $4832584.95    | 0.01%             | 2039-03-01      | Fixed         | 4.55%                 | 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      | $16360102.59   | 0.03%             | 2051-06-04      | Fixed         | 2.94%                 | 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      | $9371912.49    | 0.02%             | 2034-11-17      | Fixed         | 5.23%                 | 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        |   10888892 | PA      | $10800045.63   | 0.02%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  3 | 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      | $19975457.06   | 0.04%             | 2029-08-15      | Fixed         | 7.10%                 | 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        |   52506725 | PA      | $51268658.62   | 0.10%             | 2040-08-17      | Fixed         | 4.00%                 | Yes           |                  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      | $23900639.92   | 0.04%             | 2030-08-15      | Fixed         | 5.23%                 | 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      | $10920411.45   | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                         | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class C                                                    | CUSIP: 10807UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16570000 | PA      | $16618666.09   | 0.03%             | 2031-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    7096000 | PA      | $6539585.40    | 0.01%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   21446000 | PA      | $17949241.92   | 0.03%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    5046000 | PA      | $4453558.02    | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   16992000 | PA      | $12839910.49   | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    2669000 | PA      | $2696532.58    | 0.01%             | 2054-02-22      | Fixed         | 5.55%                 | 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        |    4386309 | PA      | $4317978.23    | 0.01%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  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        |    7075890 | PA      | $6852247.45    | 0.01%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  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        |    6992982 | PA      | $6659318.47    | 0.01%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                      | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    6530000 | PA      | $5872692.29    | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   40051000 | PA      | $35078212.57   | 0.07%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5766000 | PA      | $4979483.58    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16770000 | PA      | $17498930.02   | 0.03%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10780000 | PA      | $10907533.01   | 0.02%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   16008000 | PA      | $16045634.01   | 0.03%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    1075000 | PA      | $930649.32     | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    3664000 | PA      | $3649583.15    | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    5160000 | PA      | $5251290.72    | 0.01%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  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      | $5318434.10    | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | 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      | $5549462.14    | 0.01%             | 2029-03-04      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   22130000 | PA      | $20411734.30   | 0.04%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   24200000 | PA      | $24788203.99   | 0.05%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  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      | $1825064.88    | 0.00%             | 2042-03-15      | Fixed         | 4.40%                 | 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      | $3627298.04    | 0.01%             | 2042-09-01      | Fixed         | 4.38%                 | 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      | $2887239.22    | 0.01%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  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      | $4177129.40    | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  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        |   29153766 | PA      | $29435884.02   | 0.06%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | 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        |   37755658 | PA      | $37516650.03   | 0.07%             | 2037-06-15      | Fixed         | 4.46%                 | 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        |    1923475 | PA      | $1963354.93    | 0.00%             | 2038-11-15      | Fixed         | 5.77%                 | Yes           |                  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        |   13219593 | PA      | $13514117.18   | 0.03%             | 2038-11-15      | Fixed         | 6.31%                 | Yes           |                  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        |    5621823 | PA      | $5505720.28    | 0.01%             | 2050-02-15      | Fixed         | 3.48%                 | Yes           |                  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        |    5866250 | PA      | $5571463.31    | 0.01%             | 2050-02-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |   16825000 | PA      | $15260850.75   | 0.03%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAF0<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    3570000 | PA      | $3603943.56    | 0.01%             | 2034-03-15      | Fixed         | 5.15%                 | 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      | $14416009.67   | 0.03%             | 2026-02-28      | Variable      | 1.86%                 | Yes           |                  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      | $27908034.70   | 0.05%             | 2029-09-29      | Variable      | 2.20%                 | Yes           |                  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      | $15841590.81   | 0.03%             | 2026-01-29      | Variable      | 0.79%                 | Yes           |                  2 | 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      | $14160262.44   | 0.03%             | 2026-01-29      | Variable      | 0.94%                 | Yes           |                  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      | $18548421.05   | 0.03%             | 2029-08-29      | Fixed         | 0.00%                 | Yes           |                  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        |  103217661 | PA      | $103217661.16  | 0.19%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | 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      | $94822800.00   | 0.18%             | 2028-11-27      | Fixed         | 6.50%                 | Yes           |                  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        |   11869080 | PA      | $11815835.22   | 0.02%             | 2026-02-16      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   14101000 | PA      | $13818711.52   | 0.03%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   10000000 | PA      | $8881379.00    | 0.02%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    1904000 | PA      | $1715121.62    | 0.00%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   20860000 | PA      | $21604218.26   | 0.04%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                     | Cigna Group (The)                                                                                                        | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   47245000 | PA      | $48444378.58   | 0.09%             | 2036-01-15      | Fixed         | 5.25%                 | 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      | $6423105.00    | 0.01%             | 2026-10-03      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    3458000 | PA      | $3439168.91    | 0.01%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    2426000 | PA      | $2390042.99    | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BS8<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1236763.36    | 0.00%             | 2027-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CRH America, Inc.                                                     | CRH America, Inc.                                                                                                        | CUSIP: 12626PAN3<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |    6052000 | PA      | $5778809.69    | 0.01%             | 2045-05-18      | Fixed         | 5.12%                 | Yes           |                  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        |    1141934 | PA      | $74410.73      | 0.00%             | 2040-06-25      | Variable      | 3.51%                 | Yes           |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    3498000 | PA      | $3609577.91    | 0.01%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1287835.49    | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    8165000 | PA      | $7418276.87    | 0.01%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $1948599.08    | 0.00%             | 2049-09-15      | Fixed         | 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      | $13178861.70   | 0.02%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  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        |   25890000 | PA      | $22333827.27   | 0.04%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  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      | $13956922.09   | 0.03%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  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        |    6764162 | PA      | $6819975.44    | 0.01%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     501333 | PA      | $517103.59     | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3238532 | PA      | $3453507.45    | 0.01%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3406442 | PA      | $3519652.39    | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3466293.88    | 0.01%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2122000 | PA      | $2127883.65    | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    8553000 | PA      | $8805762.19    | 0.02%             | 2030-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   22000000 | PA      | $22766672.06   | 0.04%             | 2033-02-21      | Fixed         | 5.25%                 | 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        |    3389105 | PA      | $3698741.08    | 0.01%             | 2031-07-10      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2013                                                                                      | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6994967 | PA      | $6708239.24    | 0.01%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  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        |     922996 | PA      | $855680.18     | 0.00%             | 2036-08-11      | Fixed         | 4.16%                 | 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      | $212604.48     | 0.00%             | 2034-04-25      | Floating      | 4.63%                 | 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        |      38463 | PA      | $39539.22      | 0.00%             | 2034-03-25      | Floating      | 4.82%                 | 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        |      27807 | PA      | $27697.80      | 0.00%             | 2034-10-25      | Floating      | 4.97%                 | 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        |     479289 | PA      | $59044.14      | 0.00%             | 2035-03-25      | Floating      | 3.03%                 | 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        |    1561647 | PA      | $1600829.41    | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | 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        |   10671825 | PA      | $916032.10     | 0.00%             | 2035-09-25      | Floating      | 0.98%                 | 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        |    3262420 | PA      | $308860.45     | 0.00%             | 2035-06-25      | Floating      | 1.00%                 | 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        |    2074214 | PA      | $129680.05     | 0.00%             | 2035-07-25      | Floating      | 0.68%                 | 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        |     821990 | PA      | $707999.88     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | 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        |      41031 | PA      | $15448.08      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | 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        |    2698486 | PA      | $180668.47     | 0.00%             | 2035-11-25      | Floating      | 0.78%                 | No            |                  2 | 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        |      10108 | PA      | $7874.58       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |     682624 | PA      | $525918.03     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |     290633 | PA      | $260016.88     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |     575012 | PA      | $473618.81     | 0.00%             | 2035-11-25      | Variable      | 4.88%                 | No            |                  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        |      27845 | PA      | $22393.84      | 0.00%             | 2032-11-25      | None          | 0.00%                 | 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        |      39810 | PA      | $38177.24      | 0.00%             | 2034-05-20      | Variable      | 5.16%                 | 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        |      57772 | PA      | $57926.42      | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  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        |      85084 | PA      | $85652.15      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  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        |     335537 | PA      | $334168.69     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | 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        |      24705 | PA      | $22708.32      | 0.00%             | 2034-06-25      | Variable      | 5.40%                 | No            |                  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        |     152280 | PA      | $144311.57     | 0.00%             | 2034-06-20      | Variable      | 4.64%                 | 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        |      39136 | PA      | $23725.57      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | 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        |     124003 | PA      | $119351.19     | 0.00%             | 2034-11-20      | Variable      | 5.28%                 | No            |                  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      | $26816.79      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | 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        |      22542 | PA      | $12757.21      | 0.00%             | 2035-03-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                                            | COPT Defense Properties LP                                                                                               | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    6270000 | PA      | $6244557.91    | 0.01%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Koda Gnb ABS LLC                                                      | Koda Gnb ABS LLC, Series 2023-1A, Class A1                                                                               | CUSIP: 127656AA4<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   12034171 | PA      | $12258267.97   | 0.02%             | 2040-04-28      | Fixed         | 7.48%                 | Yes           |                  3 | On Loan: No      |
| Koda Gnb ABS LLC                                                      | Koda Gnb ABS LLC, Series 2023-1A, Class A2                                                                               | CUSIP: 127656AB2<br>LEI: 549300KYPQ0HIKDTZK59 | Long             | ABS-O            | CORP              | US        |   20906149 | PA      | $21319814.63   | 0.04%             | 2040-04-28      | Fixed         | 7.85%                 | Yes           |                  3 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   27576000 | PA      | $28101011.74   | 0.05%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   10504000 | PA      | $11801196.63   | 0.02%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   30700000 | PA      | $32905552.16   | 0.06%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   49395000 | PA      | $50271998.35   | 0.09%             | 2031-07-03      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                          | CaixaBank SA                                                                                                             | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   26134000 | PA      | $27116880.66   | 0.05%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| State of California                                                   | State of California, Various Purpose                                                                                     | CUSIP: 13063A7D0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |    2400000 | PA      | $2833556.64    | 0.01%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  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      | $7645036.96    | 0.01%             | 2032-04-07      | Fixed         | 3.60%                 | 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      | $3367159.74    | 0.01%             | 2028-10-03      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                                          | Canadian Pacific Railway Co.                                                                                             | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    2500000 | PA      | $2251807.93    | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2798000 | PA      | $2738047.23    | 0.01%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   16445000 | PA      | $14728028.04   | 0.03%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   29565000 | PA      | $31044481.68   | 0.06%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7486768.58    | 0.01%             | 2036-09-11      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Cardinal Health, Inc.                                                 | Cardinal Health, Inc.                                                                                                    | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7850746.35    | 0.01%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1886000 | PA      | $1633073.22    | 0.00%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1569000 | PA      | $1345074.75    | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | 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        |   14982400 | PA      | $14423848.52   | 0.03%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  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      | $17056157.85   | 0.03%             | 2029-09-10      | Fixed         | 6.16%                 | Yes           |                  2 | 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        |    7373942 | PA      | $7352477.12    | 0.01%             | 2028-02-10      | Fixed         | 3.52%                 | 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      | $17689925.75   | 0.03%             | 2030-02-11      | Fixed         | 6.46%                 | Yes           |                  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        |   32199112 | PA      | $31473666.17   | 0.06%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  3 | 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        |     587217 | PA      | $1008.84       | 0.00%             | 2048-10-15      | Variable      | 0.19%                 | Yes           |                  3 | 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      | $15188.39      | 0.00%             | 2034-02-25      | None          | 0.00%                 | 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        |       9883 | PA      | $7368.31       | 0.00%             | 2033-10-25      | None          | 0.00%                 | 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      | $37543741.80   | 0.07%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                               | CenterPoint Energy Houston Electric LLC                                                                                  | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1066000 | PA      | $863349.66     | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | 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      | $4519429.95    | 0.01%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9380000 | PA      | $7868040.80    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | 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      | $4567014.72    | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | 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      | $10112537.62   | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27270000 | PA      | $17549054.37   | 0.03%             | 2051-04-01      | Fixed         | 3.70%                 | 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      | $8576001.11    | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | 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      | $5474466.74    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8850000 | PA      | $8870118.97    | 0.02%             | 2035-12-01      | Fixed         | 5.85%                 | 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        |     404033 | PA      | $399060.46     | 0.00%             | 2033-05-25      | Variable      | 4.87%                 | 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        |     494574 | PA      | $492239.38     | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | 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        |     842933 | PA      | $839316.17     | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  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        |      35184 | PA      | $35333.31      | 0.00%             | 2037-02-25      | Variable      | 6.47%                 | 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        |     120377 | PA      | $115904.70     | 0.00%             | 2037-02-25      | Variable      | 5.89%                 | 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        |       2778 | PA      | $2790.32       | 0.00%             | 2037-02-25      | Variable      | 6.87%                 | No            |                  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        |      89466 | PA      | $88648.20      | 0.00%             | 2037-02-25      | Variable      | 6.31%                 | No            |                  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        |      13768 | PA      | $13896.09      | 0.00%             | 2035-06-25      | Variable      | 6.89%                 | 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        |      95914 | PA      | $96187.43      | 0.00%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                           | Cheniere Energy Partners LP                                                                                              | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   12420000 | PA      | $12777793.00   | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                 | Cheniere Energy, Inc.                                                                                                    | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   13830000 | PA      | $14423724.25   | 0.03%             | 2034-04-15      | Fixed         | 5.65%                 | 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      | $8061555.83    | 0.02%             | 2051-06-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Children's Hospital                                                   | Children's Hospital, Series 2020                                                                                         | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |   13680000 | PA      | $8954712.40    | 0.02%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                     | Republic of Chile                                                                                                        | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    9568000 | PA      | $8577712.00    | 0.02%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6210799.47    | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1491000 | PA      | $1498312.92    | 0.00%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   41323000 | PA      | $41032687.74   | 0.08%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   11100000 | PA      | $10985178.05   | 0.02%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6399000 | PA      | $6395375.61    | 0.01%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1901000 | PA      | $1417479.02    | 0.00%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $54782955.50   | 0.10%             | 2033-11-17      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   31800000 | PA      | $33212530.24   | 0.06%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   18415000 | PA      | $18873635.15   | 0.04%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   23430000 | PA      | $23594317.40   | 0.04%             | 2031-09-11      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   19340000 | PA      | $19736661.85   | 0.04%             | 2036-09-11      | Variable      | 5.17%                 | 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      | $1061234.17    | 0.00%             | 2039-06-15      | Fixed         | 6.15%                 | 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        |      29033 | PA      | $27998.76      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | 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        |       5169 | PA      | $4368.19       | 0.00%             | 2033-10-25      | None          | 0.00%                 | 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        |         43 | PA      | $37.94         | 0.00%             | 2033-10-25      | None          | 0.00%                 | 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        |       7495 | PA      | $5362.58       | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  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        |      27009 | PA      | $25834.35      | 0.00%             | 2034-08-25      | Variable      | 6.23%                 | 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        |     110376 | PA      | $96285.83      | 0.00%             | 2035-02-25      | Variable      | 3.45%                 | 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        |     280003 | PA      | $281459.30     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  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        |     308239 | PA      | $259867.86     | 0.00%             | 2035-08-25      | Variable      | 4.37%                 | No            |                  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        |     142212 | PA      | $131312.14     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  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        |     154951 | PA      | $154766.70     | 0.00%             | 2033-09-25      | Variable      | 5.67%                 | Yes           |                  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        |     806549 | PA      | $793958.10     | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $3064694.67    | 0.01%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   21204000 | PA      | $21397488.41   | 0.04%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Claremont Mckenna College                                             | Claremont Mckenna College, Series 2019                                                                                   | CUSIP: 18013RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7228545.60    | 0.01%             | 2050-01-01      | Fixed         | 3.38%                 | 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      | $894417.09     | 0.00%             | 2036-12-15      | Fixed         | 5.95%                 | 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      | $3840266.31    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                                    | CNO Global Funding                                                                                                       | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   11240000 | PA      | $11021642.77   | 0.02%             | 2026-10-07      | Fixed         | 1.75%                 | Yes           |                  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      | $9447271.65    | 0.02%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  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      | $16906966.48   | 0.03%             | 2034-01-15      | Fixed         | 5.68%                 | Yes           |                  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      | $4071452.15    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | 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      | $12389510.00   | 0.02%             | 2030-08-15      | Fixed         | 5.93%                 | Yes           |                  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      | $12080863.69   | 0.02%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  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      | $37884721.70   | 0.07%             | 2035-02-15      | Fixed         | 5.44%                 | Yes           |                  2 | 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      | $25038969.34   | 0.05%             | 2055-02-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   16564000 | PA      | $16235654.15   | 0.03%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3361000 | PA      | $3224920.40    | 0.01%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5553000 | PA      | $4196630.72    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1009723.09    | 0.00%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   19265000 | PA      | $15302889.59   | 0.03%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $5835487.32    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    8535000 | PA      | $7134133.21    | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   24803000 | PA      | $14815466.11   | 0.03%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   14886000 | PA      | $9006603.26    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   15473000 | PA      | $8980651.44    | 0.02%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     962000 | PA      | $536845.39     | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4960000 | PA      | $4572332.25    | 0.01%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $4079589.03    | 0.01%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   37553000 | PA      | $37503461.96   | 0.07%             | 2037-01-15      | Fixed         | 5.17%                 | 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      | $52829018.59   | 0.10%             | 2033-04-10      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAC7<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    5540000 | PA      | $4442097.20    | 0.01%             | 2049-10-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6205000 | PA      | $5795678.61    | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $4985007.46    | 0.01%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                               | Commonwealth Edison Co.                                                                                                  | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    3615000 | PA      | $2821425.51    | 0.01%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  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      | $10023765.38   | 0.02%             | 2043-07-25      | Floating      | 6.77%                 | Yes           |                  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      | $18308907.40   | 0.03%             | 2043-01-25      | Floating      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                    | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBE5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   13210000 | PA      | $12575506.79   | 0.02%             | 2053-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                    | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   10025000 | PA      | $9799715.09    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | 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      | $2886150.77    | 0.01%             | 2040-06-15      | Fixed         | 5.70%                 | 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      | $2665481.27    | 0.01%             | 2047-06-15      | Fixed         | 3.88%                 | 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      | $1440459.37    | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3104915.43    | 0.01%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    3091000 | PA      | $2898133.16    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5049990.95    | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    4555000 | PA      | $4882986.33    | 0.01%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3830819.24    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                  | Consumers Energy Co.                                                                                                     | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $1594653.45    | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | 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      | $4374278.58    | 0.01%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    8564000 | PA      | $8533403.23    | 0.02%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   13295000 | PA      | $13192398.23   | 0.02%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    9710000 | PA      | $9562449.66    | 0.02%             | 2029-04-05      | Fixed         | 3.85%                 | 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        |    3264995 | PA      | $3185231.03    | 0.01%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  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      | $5376250.93    | 0.01%             | 2052-06-15      | Fixed         | 3.67%                 | Yes           |                  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        |    2570212 | PA      | $2564264.64    | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Corning, Inc.                                                         | Corning, Inc.                                                                                                            | CUSIP: 219350BK0<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    6270000 | PA      | $6170950.36    | 0.01%             | 2048-11-15      | Fixed         | 5.35%                 | 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      | $18722753.83   | 0.04%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                                            | COPT Defense Properties LP                                                                                               | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    3440000 | PA      | $3206319.46    | 0.01%             | 2029-01-15      | Fixed         | 2.00%                 | 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      | $7470102.24    | 0.01%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    3046000 | PA      | $3026049.22    | 0.01%             | 2026-09-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    8375000 | PA      | $4742399.36    | 0.01%             | 2050-10-01      | Fixed         | 2.95%                 | 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      | $5141626.20    | 0.01%             | 2033-05-16      | Fixed         | 7.02%                 | 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        |   20100797 | PA      | $20212708.61   | 0.04%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  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      | $44291395.50   | 0.08%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  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      | $65504092.20   | 0.12%             | 2034-02-15      | Fixed         | 6.95%                 | 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      | $27620792.50   | 0.05%             | 2034-06-15      | Fixed         | 8.30%                 | 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        |   20166139 | PA      | $20179817.36   | 0.04%             | 2032-10-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22534PAE3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   12885000 | PA      | $13004479.13   | 0.02%             | 2026-07-05      | Fixed         | 5.59%                 | Yes           |                  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      | $50702720.00   | 0.10%             | 2033-04-18      | Fixed         | 9.00%                 | Yes           |                  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      | $19334593.84   | 0.04%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  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      | $8080401.60    | 0.02%             | 2033-12-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   13418000 | PA      | $13850002.71   | 0.03%             | 2030-01-10      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   45845000 | PA      | $48618686.22   | 0.09%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   15002000 | PA      | $15308372.49   | 0.03%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   42640000 | PA      | $43967046.77   | 0.08%             | 2031-05-27      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   22790000 | PA      | $22841563.29   | 0.04%             | 2033-09-25      | Variable      | 4.82%                 | 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      | $40878320.00   | 0.08%             | 2034-08-15      | Fixed         | 6.11%                 | Yes           |                  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        |   18182029 | PA      | $18219709.04   | 0.03%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  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      | $33676764.05   | 0.06%             | 2033-07-15      | Fixed         | 6.61%                 | 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      | $35781296.16   | 0.07%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  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      | $12173326.80   | 0.02%             | 2034-05-15      | Fixed         | 6.03%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2991000 | PA      | $2972906.27    | 0.01%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9855000 | PA      | $10803149.85   | 0.02%             | 2034-09-22      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8035000 | PA      | $8031983.90    | 0.02%             | 2031-09-23      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   32415000 | PA      | $32420647.34   | 0.06%             | 2037-03-23      | Variable      | 5.01%                 | Yes           |                  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        |      26276 | PA      | $26990.60      | 0.00%             | 2033-06-25      | Variable      | 6.81%                 | 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        |     123340 | PA      | $124005.19     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | 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        |     163544 | PA      | $121522.26     | 0.00%             | 2033-10-25      | None          | 0.00%                 | 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        |     353815 | PA      | $362957.68     | 0.00%             | 2034-12-25      | 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        |     124253 | PA      | $127376.17     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  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        |     677564 | PA      | $113437.60     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | 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        |      24398 | PA      | $19069.56      | 0.00%             | 2035-10-25      | 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        |   14860183 | PA      | $3581.30       | 0.00%             | 2049-01-15      | Variable      | 0.03%                 | Yes           |                  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        |      32554 | PA      | $22925.54      | 0.00%             | 2035-11-25      | 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        |     269601 | PA      | $278688.54     | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | 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      | $9972362.00    | 0.02%             | 2028-07-15      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2066000 | PA      | $2058680.06    | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12355000 | PA      | $12838662.30   | 0.02%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12960000 | PA      | $13650702.29   | 0.03%             | 2034-03-01      | Fixed         | 5.80%                 | 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      | $5867458.20    | 0.01%             | 2039-11-15      | Fixed         | 3.25%                 | 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      | $3888868.80    | 0.01%             | 2034-06-10      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co.                                                                                                         | CUSIP: 23338VAL0<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $5965138.96    | 0.01%             | 2050-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co., Series B                                                                                               | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1146000 | PA      | $864163.61     | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                      | DTE Electric Co.                                                                                                         | CUSIP: 23338VAT3<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     934000 | PA      | $928252.25     | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | 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      | $6006078.42    | 0.01%             | 2029-05-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                    | DT Midstream, Inc.                                                                                                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17380000 | PA      | $16784430.33   | 0.03%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  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        |    2103051 | PA      | $2107697.02    | 0.00%             | 2028-07-17      | Fixed         | 7.69%                 | Yes           |                  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      | $47422848.30   | 0.09%             | 2028-07-17      | Fixed         | 8.14%                 | Yes           |                  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      | $10080362.00   | 0.02%             | 2029-05-15      | Fixed         | 6.40%                 | 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      | $13583903.06   | 0.03%             | 2029-05-15      | Fixed         | 7.12%                 | Yes           |                  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      | $9518233.29    | 0.02%             | 2029-02-15      | Fixed         | 6.62%                 | 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      | $15779343.84   | 0.03%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  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      | $28583392.11   | 0.05%             | 2030-01-15      | Fixed         | 10.39%                | Yes           |                  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        |   15403846 | PA      | $16271647.91   | 0.03%             | 2032-03-01      | Fixed         | 5.97%                 | 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      | $20320940.97   | 0.04%             | 2037-09-01      | Fixed         | 6.09%                 | 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        |   16716740 | PA      | $17182619.22   | 0.03%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  3 | On Loan: No      |
| DailyPay Securitization Trust 2025-1                                  | DailyPay Securitization Trust, Series 2025-1A, Class A                                                                   | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21000000 | PA      | $21154858.20   | 0.04%             | 2028-06-26      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   29115000 | PA      | $30352877.80   | 0.06%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   10433000 | PA      | $10529665.81   | 0.02%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   13405000 | PA      | $13739791.35   | 0.03%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636ABL4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   14355000 | PA      | $14339152.65   | 0.03%             | 2031-09-12      | Variable      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     242000 | PA      | $168440.92     | 0.00%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5508000 | PA      | $5634737.43    | 0.01%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2501000 | PA      | $2516097.89    | 0.00%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5595000 | PA      | $5624983.55    | 0.01%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6196927.56    | 0.01%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4770000 | PA      | $4889208.36    | 0.01%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   46000000 | PA      | $47728637.22   | 0.09%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Delmarva Power & Light Co.                                            | Delmarva Power & Light Co.                                                                                               | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    1478000 | PA      | $1247880.09    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | 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        |    4552491 | PA      | $4371201.77    | 0.01%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  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        |      23341 | PA      | $22786.52      | 0.00%             | 2020-02-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   17877000 | PA      | $16453637.91   | 0.03%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4955000 | PA      | $4863985.17    | 0.01%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    8661000 | PA      | $9079972.84    | 0.02%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   11195000 | PA      | $11963257.66   | 0.02%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   16725000 | PA      | $17419601.79   | 0.03%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6960000 | PA      | $7079123.60    | 0.01%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    7175000 | PA      | $7351897.83    | 0.01%             | 2035-09-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   44058000 | PA      | $45278014.04   | 0.08%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   26935000 | PA      | $27325557.23   | 0.05%             | 2031-08-04      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   14135000 | PA      | $14377906.58   | 0.03%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   24880000 | PA      | $25407401.02   | 0.05%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                    | Devon Energy Corp.                                                                                                       | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    8163000 | PA      | $7598666.18    | 0.01%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Capital One NA                                                        | Capital One NA                                                                                                           | CUSIP: 25466AAE1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |    8109000 | PA      | $8109341.23    | 0.02%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | 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        |   17251815 | PA      | $17449330.94   | 0.03%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  3 | 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        |   18348917 | PA      | $18552314.41   | 0.03%             | 2044-05-30      | Fixed         | 7.67%                 | Yes           |                  3 | On Loan: No      |
| Diversified ABS LLC                                                   | Diversified ABS LLC, Series 2025-1A, Class A1                                                                            | CUSIP: 255126AA2<br>LEI: 2549000V3WDZQQ691H02 | Long             | ABS-O            | CORP              | US        |   24277408 | PA      | $24450700.59   | 0.05%             | 2045-02-28      | Fixed         | 5.95%                 | Yes           |                  3 | 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      | $58539400.00   | 0.11%             | 2045-02-28      | Fixed         | 6.75%                 | Yes           |                  3 | 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        |   23113703 | PA      | $23126438.35   | 0.04%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| DNB Bank ASA                                                          | DNB Bank ASA                                                                                                             | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   22075000 | PA      | $21388018.49   | 0.04%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series F                                                                                          | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    5067000 | PA      | $5228202.86    | 0.01%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc.                                                                                                    | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1241174.73    | 0.00%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series C                                                                                          | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1718886.20    | 0.00%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series D                                                                                          | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1927000 | PA      | $1910339.83    | 0.00%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                               | DuPont de Nemours, Inc.                                                                                                  | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   11250000 | PA      | $11468552.96   | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | 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        |   42748900 | PA      | $43112265.29   | 0.08%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | 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      | $9316056.47    | 0.02%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1382000 | PA      | $1367473.70    | 0.00%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   16415000 | PA      | $12676981.78   | 0.02%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   26040000 | PA      | $27425901.14   | 0.05%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   18525000 | PA      | $18487087.29   | 0.03%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1228000 | PA      | $1097148.93    | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CBL7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    9705000 | PA      | $9638265.70    | 0.02%             | 2054-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                                | Duke Energy Ohio, Inc.                                                                                                   | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    3297000 | PA      | $2563455.05    | 0.00%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442RAD3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    2258000 | PA      | $1913507.48    | 0.00%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1616000 | PA      | $1256790.75    | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    9495000 | PA      | $6136278.58    | 0.01%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC                                                                                                  | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $3552974.64    | 0.01%             | 2046-05-15      | Fixed         | 3.75%                 | 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      | $4814938.74    | 0.01%             | 2049-10-01      | Fixed         | 3.25%                 | 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      | $4326428.70    | 0.01%             | 2037-07-01      | Fixed         | 2.39%                 | 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      | $8792619.89    | 0.02%             | 2033-03-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    8002000 | PA      | $7876586.33    | 0.01%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    6275000 | PA      | $5604615.08    | 0.01%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Electricite de France SA                                              | Electricite de France SA                                                                                                 | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   19275000 | PA      | $20643577.24   | 0.04%             | 2034-04-22      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    4843000 | PA      | $4845058.71    | 0.01%             | 2040-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   14030000 | PA      | $14101041.61   | 0.03%             | 2054-05-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     425000 | PA      | $497194.07     | 0.00%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| EQT Corp.                                                             | EQT Corp.                                                                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3371000 | PA      | $3350880.29    | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    3104000 | PA      | $3197451.60    | 0.01%             | 2042-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAZ5<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    7330000 | PA      | $7590390.04    | 0.01%             | 2034-10-30      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Eagle Funding Luxco Sarl                                              | Eagle Funding Luxco SARL                                                                                                 | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   94917000 | PA      | $96282855.63   | 0.18%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  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      | $10970301.64   | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | 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      | $3297552.63    | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    6730000 | PA      | $6651730.37    | 0.01%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2034001.54    | 0.00%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AY3<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   15800000 | PA      | $16028184.39   | 0.03%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Elara Hgv Timeshare Issuer LLC                                        | Elara Hgv Timeshare Issuer LLC, Series 2025-A, Class A                                                                   | CUSIP: 28416VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6937694 | PA      | $6951063.41    | 0.01%             | 2040-01-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   25300000 | PA      | $25534271.42   | 0.05%             | 2026-06-26      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   25788000 | PA      | $27212432.42   | 0.05%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    6890000 | PA      | $7011271.30    | 0.01%             | 2027-03-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                        | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   23200000 | PA      | $23771237.13   | 0.04%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Emera US Finance LP                                                   | Emera US Finance LP                                                                                                      | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24295000 | PA      | $20992298.59   | 0.04%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $7578492.69    | 0.01%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    9791000 | PA      | $9732205.24    | 0.02%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   17080000 | PA      | $18090129.13   | 0.03%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBZ7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    5550000 | PA      | $6196078.05    | 0.01%             | 2053-11-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                        | Enbridge, Inc.                                                                                                           | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   19445000 | PA      | $20421060.83   | 0.04%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     897000 | PA      | $951600.21     | 0.00%             | 2039-10-07      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2695000 | PA      | $3149043.68    | 0.01%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4266000 | PA      | $4345378.87    | 0.01%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3950000 | PA      | $3904254.58    | 0.01%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    4500000 | PA      | $4437867.38    | 0.01%             | 2028-04-06      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   15935000 | PA      | $16381989.66   | 0.03%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   22930000 | PA      | $23961015.81   | 0.04%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   12700000 | PA      | $12671285.68   | 0.02%             | 2035-09-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6419000 | PA      | $6301941.13    | 0.01%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5655000 | PA      | $5683775.35    | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                              | Engie SA                                                                                                                 | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |   13225000 | PA      | $13937086.90   | 0.03%             | 2034-04-10      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Entergy Corp.                                                         | Entergy Corp.                                                                                                            | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    2469000 | PA      | $2447239.52    | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAW8<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1551000 | PA      | $1530310.08    | 0.00%             | 2028-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4606000 | PA      | $4329817.75    | 0.01%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    4979000 | PA      | $4917148.02    | 0.01%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    3430000 | PA      | $3321874.74    | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   17840000 | PA      | $18345384.19   | 0.03%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                   | Entergy Texas, Inc.                                                                                                      | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    8450000 | PA      | $8607691.20    | 0.02%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    8425000 | PA      | $5132942.20    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    6750000 | PA      | $6965573.60    | 0.01%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                               | Entergy Mississippi LLC                                                                                                  | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   12395000 | PA      | $12781833.70   | 0.02%             | 2054-06-01      | Fixed         | 5.85%                 | 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      | $2688365.45    | 0.01%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     455000 | PA      | $554157.13     | 0.00%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1259000 | PA      | $1339478.50    | 0.00%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     455000 | PA      | $407284.74     | 0.00%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1758000 | PA      | $1683377.88    | 0.00%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1189000 | PA      | $1077669.02    | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EQV Abs Issuer I LLC                                                  | EQV Abs Issuer I LLC                                                                                                     | CUSIP: 29476QAB2<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-MBS          | CORP              | US        |    1381880 | PA      | $1388098.59    | 0.00%             | 2040-12-15      | Fixed         | 5.85%                 | No            |                  3 | On Loan: No      |
| EQV Abs Issuer I LLC                                                  | EQV ABS Issuer LLC                                                                                                       | CUSIP: 29476QAC0<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-O            | CORP              | US        |   23967108 | PA      | $24169318.54   | 0.05%             | 2040-12-15      | Fixed         | 6.90%                 | No            |                  3 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    8950000 | PA      | $7812555.24    | 0.01%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    6190000 | PA      | $6458223.84    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                          | Evergy, Inc.                                                                                                             | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    7869000 | PA      | $7504819.22    | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                                    | Evergy Metro, Inc.                                                                                                       | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    6931000 | PA      | $7290955.18    | 0.01%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  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        |   10746656 | PA      | $11129779.82   | 0.02%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   18303000 | PA      | $20054444.45   | 0.04%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   15265000 | PA      | $15710791.43   | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    1177000 | PA      | $1173632.79    | 0.00%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13562556.15   | 0.03%             | 2033-03-15      | Fixed         | 5.30%                 | 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      | $14597105.67   | 0.03%             | 2029-12-17      | Fixed         | 6.95%                 | 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      | $26441307.41   | 0.05%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  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        |   36795844 | PA      | $37209863.33   | 0.07%             | 2028-09-15      | Fixed         | 6.76%                 | 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        |     416665 | PA      | $417012.01     | 0.00%             | 2027-12-15      | Fixed         | 6.51%                 | 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      | $12752158.86   | 0.02%             | 2029-02-15      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                                                             | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48000000 | PA      | $48269726.40   | 0.09%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  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      | $14258382.58   | 0.03%             | 2029-04-06      | Fixed         | 8.03%                 | 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      | $8951377.84    | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | 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        |   15002695 | PA      | $15068295.75   | 0.03%             | 2028-07-17      | Fixed         | 5.75%                 | 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      | $21261643.66   | 0.04%             | 2029-01-16      | Fixed         | 6.85%                 | 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      | $11482483.78   | 0.02%             | 2028-01-13      | Fixed         | 7.40%                 | 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      | $9551813.41    | 0.02%             | 2029-06-04      | Fixed         | 6.50%                 | 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      | $7172466.70    | 0.01%             | 2029-04-16      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    8937000 | PA      | $8898240.95    | 0.02%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    2726000 | PA      | $2324939.76    | 0.00%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   14245000 | PA      | $11544898.71   | 0.02%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAZ5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   17965000 | PA      | $12572374.63   | 0.02%             | 2049-08-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FMR LLC                                                               | FMR LLC                                                                                                                  | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    2242000 | PA      | $2509259.02    | 0.00%             | 2039-11-15      | Fixed         | 6.45%                 | Yes           |                  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      | $56296923.21   | 0.11%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  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      | $41524751.42   | 0.08%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  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      | $59095776.21   | 0.11%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  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      | $86517211.13   | 0.16%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  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      | $40277528.00   | 0.08%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  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      | $110037347.44  | 0.21%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                            | FW Energy Asset Issuer LLC                                                                                               | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   66040340 | PA      | $67637723.36   | 0.13%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Energy Assets                                                         | Energy Assets                                                                                                            | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   19818293 | PA      | $20355289.47   | 0.04%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  3 | 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      | $8395626.51    | 0.02%             | 2049-06-25      | Variable      | 4.09%                 | 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      | $4561699.00    | 0.01%             | 2031-10-25      | Variable      | 4.25%                 | Yes           |                  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      | $12300645.15   | 0.02%             | 2030-02-25      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                                                          | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32666000 | PA      | $28180909.20   | 0.05%             | 2030-02-25      | Variable      | 3.17%                 | Yes           |                  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      | $19812060.00   | 0.04%             | 2050-02-25      | Variable      | 4.01%                 | Yes           |                  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      | $9876401.00    | 0.02%             | 2053-01-25      | Variable      | 3.44%                 | Yes           |                  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      | $10391023.65   | 0.02%             | 2049-09-25      | Variable      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $29883866.70   | 0.06%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   11965000 | PA      | $11604755.39   | 0.02%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   41850000 | PA      | $41863652.73   | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   42180000 | PA      | $42637154.01   | 0.08%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                  | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   16665000 | PA      | $16622781.72   | 0.03%             | 2055-11-15      | Fixed         | 5.62%                 | 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      | $8488911.75    | 0.02%             | 2052-02-25      | Variable      | 4.47%                 | Yes           |                  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      | $5341032.56    | 0.01%             | 2029-06-25      | Variable      | 4.09%                 | Yes           |                  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      | $5798004.00    | 0.01%             | 2051-12-25      | Variable      | 3.65%                 | Yes           |                  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      | $7923133.58    | 0.01%             | 2052-05-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                                                        | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9399248 | PA      | $8783038.34    | 0.02%             | 2031-01-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                                    | F&G Global Funding                                                                                                       | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   12780000 | PA      | $12591196.97   | 0.02%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2023-1A, Class A2                                                                                      | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3975835 | PA      | $3996060.86    | 0.01%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  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        |    4579863 | PA      | $4614310.44    | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | Yes           |                  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        |   24564615 | PA      | $20526069.82   | 0.04%             | 2052-01-25      | Variable      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                   | FARM Mortgage Trust, Series 2024-2, Class A                                                                              | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50471532 | PA      | $49803288.77   | 0.09%             | 2054-08-01      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 11                                                                                      | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320805 | PA      | $50414.67      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 12                                                                                      | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269815 | PA      | $36649.09      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 13                                                                                      | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494681 | PA      | $70644.70      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 239, Class S30                                                                                     | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     999126 | PA      | $128102.31     | 0.00%             | 2036-08-15      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        654 | PA      | $660.67        | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13404 | PA      | $14044.36      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4189 | PA      | $4200.52       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339549 | PA      | $349281.17     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3348 | PA      | $3416.27       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7334 | PA      | $7683.84       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111654 | PA      | $113184.76     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37550 | PA      | $37477.52      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11068 | PA      | $11128.10      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LTM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20639 | PA      | $20611.34      | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     746850 | PA      | $788263.35     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448993 | PA      | $465100.23     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327803 | PA      | $338805.08     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     426745 | PA      | $444850.07     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 262, Class 35                                                                                      | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10964022 | PA      | $10443926.93   | 0.02%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 264, Class F1                                                                                      | CUSIP: 3128HXM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4269604 | PA      | $4243933.29    | 0.01%             | 2042-07-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 270, Class F1                                                                                      | CUSIP: 3128HXXL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1482354 | PA      | $1469571.01    | 0.00%             | 2042-08-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40375 | PA      | $40978.15      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JR6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193394 | PA      | $198127.04     | 0.00%             | 2036-06-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JRPE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221300 | PA      | $226376.10     | 0.00%             | 2033-05-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197687 | PA      | $205653.46     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KLRA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21506 | PA      | $22736.76      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KRW91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240963 | PA      | $245504.07     | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128L3L79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71103 | PA      | $72127.38      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128LUSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19027 | PA      | $19535.37      | 0.00%             | 2037-07-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60763 | PA      | $61882.22      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXN30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22767 | PA      | $23854.56      | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4A45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93371 | PA      | $97548.03      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23876 | PA      | $25016.22      | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16037 | PA      | $16423.14      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169000 | PA      | $179090.23     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205628 | PA      | $213184.08     | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5MP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266035 | PA      | $287766.57     | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5Q60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170261 | PA      | $175283.61     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152663 | PA      | $162628.73     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67447 | PA      | $70744.91      | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107949 | PA      | $112477.35     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193217 | PA      | $201866.90     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7VE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148068 | PA      | $153869.13     | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5092284 | PA      | $5145438.32    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128MXST7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5276 | PA      | $5347.61       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82517 | PA      | $84376.72      | 0.00%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111555 | PA      | $113809.19     | 0.00%             | 2036-07-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     351909 | PA      | $358800.55     | 0.00%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88817 | PA      | $90152.42      | 0.00%             | 2036-10-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFKE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80966 | PA      | $81685.46      | 0.00%             | 2037-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95411 | PA      | $98951.45      | 0.00%             | 2036-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171038 | PA      | $175167.73     | 0.00%             | 2036-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15639 | PA      | $16254.13      | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4732 | PA      | $4863.49       | 0.00%             | 2036-12-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26346 | PA      | $26817.52      | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243264 | PA      | $247178.32     | 0.00%             | 2036-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14882 | PA      | $15273.73      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182209 | PA      | $187790.64     | 0.00%             | 2037-04-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHY72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     669688 | PA      | $692618.52     | 0.00%             | 2036-12-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137325 | PA      | $142588.16     | 0.00%             | 2037-05-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35748 | PA      | $36334.06      | 0.00%             | 2037-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NUBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84997 | PA      | $87323.29      | 0.00%             | 2036-10-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23763 | PA      | $24137.87      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393602 | PA      | $388316.60     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1027312 | PA      | $1013669.78    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75329 | PA      | $77710.61      | 0.00%             | 2036-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96751 | PA      | $98229.74      | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134219 | PA      | $137107.31     | 0.00%             | 2037-02-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16127 | PA      | $16142.40      | 0.00%             | 2037-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37546 | PA      | $38385.22      | 0.00%             | 2037-05-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139505 | PA      | $143227.72     | 0.00%             | 2036-12-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73580 | PA      | $75178.49      | 0.00%             | 2037-01-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105740 | PA      | $108538.41     | 0.00%             | 2037-02-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212121 | PA      | $219881.64     | 0.00%             | 2036-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44713 | PA      | $46320.48      | 0.00%             | 2036-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327393 | PA      | $337091.63     | 0.00%             | 2036-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPQF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12633 | PA      | $13120.45      | 0.00%             | 2037-03-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61360 | PA      | $62373.37      | 0.00%             | 2036-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131564 | PA      | $135533.33     | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSVG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40446 | PA      | $42020.67      | 0.00%             | 2036-05-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89177 | PA      | $91190.87      | 0.00%             | 2036-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     362461 | PA      | $373775.61     | 0.00%             | 2036-06-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131246 | PA      | $134413.64     | 0.00%             | 2037-05-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15929 | PA      | $16275.05      | 0.00%             | 2038-05-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4A23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33130 | PA      | $34256.60      | 0.00%             | 2036-02-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29139 | PA      | $29361.25      | 0.00%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94729 | PA      | $97262.44      | 0.00%             | 2036-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283992 | PA      | $291684.75     | 0.00%             | 2037-05-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85269 | PA      | $87652.65      | 0.00%             | 2038-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68991 | PA      | $70458.07      | 0.00%             | 2036-11-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208278 | PA      | $212030.19     | 0.00%             | 2037-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292GQD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $98.67         | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42805 | PA      | $45260.44      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68117 | PA      | $70918.05      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129352C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39825 | PA      | $41728.21      | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2799982 | PA      | $2888017.92    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 312941XL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     734363 | PA      | $757451.67     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31295NZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3150 | PA      | $3218.40       | 0.00%             | 2032-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81327 | PA      | $82663.63      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58121 | PA      | $59571.52      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76176 | PA      | $78104.05      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297APY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171358 | PA      | $176311.40     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20655 | PA      | $21552.05      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31298GDU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193126 | PA      | $199964.38     | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LAQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64763 | PA      | $66341.23      | 0.00%             | 2036-11-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95790 | PA      | $98569.92      | 0.00%             | 2036-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121255 | PA      | $124708.85     | 0.00%             | 2036-02-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76052 | PA      | $78694.09      | 0.00%             | 2040-07-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                  | FHLB                                                                                                                     | CUSIP: 3130AL3G7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   32500000 | PA      | $25606528.68   | 0.05%             | 2036-02-08      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                  | FHLB                                                                                                                     | CUSIP: 3130AL5Y6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   40000000 | PA      | $31751772.40   | 0.06%             | 2036-02-11      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144470 | PA      | $139245.17     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3306857 | PA      | $3209075.28    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14066091 | PA      | $13655267.35   | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5025707 | PA      | $4904647.36    | 0.01%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DM3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5818919 | PA      | $5215243.08    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DN3W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30771807 | PA      | $31139212.55   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DN4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74311521 | PA      | $71212478.43   | 0.13%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10228697 | PA      | $9165013.75    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49451005 | PA      | $47368304.94   | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPFD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55522959 | PA      | $47872121.00   | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9770403 | PA      | $9669552.93    | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12198301 | PA      | $12073690.03   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQ6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15787370 | PA      | $15625535.33   | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22283612 | PA      | $19994461.38   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12266230 | PA      | $11009980.00   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DTZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   92548849 | PA      | $82723228.41   | 0.16%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DUDP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10371048 | PA      | $9300189.22    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76232532 | PA      | $65470956.68   | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55865986 | PA      | $48525629.39   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10673181 | PA      | $9539047.56    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65798107 | PA      | $56281820.47   | 0.11%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  100438141 | PA      | $89556403.85   | 0.17%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39949683 | PA      | $34430533.32   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0P55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32930780 | PA      | $28614367.45   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17806673 | PA      | $17314958.70   | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7911339 | PA      | $7941845.10    | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7F91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     648237 | PA      | $634721.43     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7L29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1756306 | PA      | $1729715.93    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7LX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292195 | PA      | $286759.07     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3NT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     570073 | PA      | $545862.67     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     667024 | PA      | $653482.73     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6623406 | PA      | $6341707.40    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4881049 | PA      | $4789022.91    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2045923 | PA      | $1956383.70    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23471733 | PA      | $22912877.73   | 0.04%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     903557 | PA      | $884283.13     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     799434 | PA      | $764437.55     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 299, Class 300                                                                                     | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     761193 | PA      | $708529.19     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 310                                                                                                | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2584788 | PA      | $2026769.20    | 0.00%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132L5L84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10038001 | PA      | $9329822.03    | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1062426 | PA      | $1029884.38    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1817345 | PA      | $1764214.27    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WVA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6745109 | PA      | $6695745.39    | 0.01%             | 2032-11-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WWXQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2019752 | PA      | $1915800.34    | 0.00%             | 2037-04-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132WWZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25141898 | PA      | $24092996.95   | 0.05%             | 2032-11-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50852000 | PA      | $48013949.37   | 0.09%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19229920.60   | 0.04%             | 2034-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XHSX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61359145 | PA      | $57574990.47   | 0.11%             | 2033-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132XVEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1110454 | PA      | $1076790.45    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132Y13D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3053522 | PA      | $3130316.53    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334WEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2994624 | PA      | $2916088.06    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334Y2K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1168650 | PA      | $1092287.69    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2332, Class ZH                                                                                      | CUSIP: 313398L98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56918 | PA      | $59535.92      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZD                                                                                      | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319352 | PA      | $333681.94     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZJ                                                                                      | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52320 | PA      | $54833.64      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2351, Class PZ                                                                                      | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29366 | PA      | $30383.54      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2345, Class NE                                                                                      | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38031 | PA      | $39866.81      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2418, Class FO                                                                                      | CUSIP: 31339D2Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40297 | PA      | $40482.72      | 0.00%             | 2032-02-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2420, Class XK                                                                                      | CUSIP: 31339DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75917 | PA      | $79645.39      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2412, Class SP                                                                                      | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80988 | PA      | $88471.49      | 0.00%             | 2032-02-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2367, Class ME                                                                                      | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40124 | PA      | $42051.60      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2388, Class FB                                                                                      | CUSIP: 31339M2J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15982 | PA      | $16002.78      | 0.00%             | 2029-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class OH                                                                                      | CUSIP: 31339MTG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41174 | PA      | $42886.98      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class TH                                                                                      | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53194 | PA      | $55813.78      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QX                                                                                      | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22747 | PA      | $1819.40       | 0.00%             | 2032-02-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QS                                                                                      | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80673 | PA      | $87459.75      | 0.00%             | 2032-02-15      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class NG                                                                                      | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57030 | PA      | $59760.12      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2430, Class WF                                                                                      | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92720 | PA      | $97506.22      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class TB                                                                                      | CUSIP: 31339WBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50614 | PA      | $52530.10      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MC                                                                                      | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51504 | PA      | $53937.47      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MT                                                                                      | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59438 | PA      | $62559.60      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A2EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5544261 | PA      | $4987237.19    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A6X97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9110070 | PA      | $7768624.33    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A7W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10041988 | PA      | $8563301.19    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A9FU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2361860 | PA      | $2014033.50    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AEQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4202547 | PA      | $3577477.63    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AFZD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7341973 | PA      | $6250009.56    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14361805 | PA      | $11862814.41   | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133C5R29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9346579 | PA      | $8493875.12    | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FFCB Funding Corp.                                                    | FFCB Funding Corp.                                                                                                       | CUSIP: 3133EMNM0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   25000000 | PA      | $19602100.75   | 0.04%             | 2036-01-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9997700 | PA      | $9658577.88    | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHRB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5821681 | PA      | $5723973.44    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KM4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15072686 | PA      | $13440523.23   | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KM4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16169764 | PA      | $13894780.80   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15294551 | PA      | $13183959.48   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28989589 | PA      | $25996530.16   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26318097 | PA      | $22403594.27   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNKT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19323720 | PA      | $17373924.16   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28844509 | PA      | $24628992.73   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39680486 | PA      | $35259276.10   | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6045582 | PA      | $5206238.37    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26569170 | PA      | $25615416.82   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21343785 | PA      | $21465040.23   | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34755191 | PA      | $33294972.05   | 0.06%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KQW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20351104 | PA      | $20470828.62   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KRJC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21919454 | PA      | $22015755.13   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 406                                                                                                | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43221032 | PA      | $37275132.70   | 0.07%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1829, Class ZB                                                                                      | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.90          | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1890, Class H                                                                                       | CUSIP: 3133T85L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        293 | PA      | $293.67        | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1899, Class ZE                                                                                      | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2890 | PA      | $2910.35       | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class PH                                                                                      | CUSIP: 3133T8TQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6965 | PA      | $7040.76       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class ZA                                                                                      | CUSIP: 3133T8U70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1136 | PA      | $1137.49       | 0.00%             | 2027-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1935, Class FL                                                                                      | CUSIP: 3133T8Z83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $144.05        | 0.00%             | 2027-02-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1963, Class Z                                                                                       | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2605 | PA      | $2622.46       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1970, Class PG                                                                                      | CUSIP: 3133TAK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $697.44        | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1981, Class Z                                                                                       | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1776 | PA      | $1775.88       | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1987, Class PE                                                                                      | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5929 | PA      | $5985.16       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2019, Class Z                                                                                       | CUSIP: 3133TCC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7893 | PA      | $7973.53       | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2040, Class PE                                                                                      | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20828 | PA      | $21180.50      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2038, Class PN                                                                                      | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9199 | PA      | $447.89        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2054, Class PV                                                                                      | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6419 | PA      | $6502.26       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2063, Class PG                                                                                      | CUSIP: 3133TEB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12421 | PA      | $12612.23      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2064, Class TE                                                                                      | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        825 | PA      | $840.31        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2070, Class C                                                                                       | CUSIP: 3133TEMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14087 | PA      | $14180.20      | 0.00%             | 2028-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PH                                                                                      | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35644 | PA      | $36237.99      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PM                                                                                      | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38144 | PA      | $38655.56      | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2086, Class GB                                                                                      | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4771 | PA      | $4852.76       | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2089, Class PJ                                                                                      | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15138 | PA      | $771.14        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2095, Class PE                                                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32187 | PA      | $32756.17      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2106, Class ZD                                                                                      | CUSIP: 3133THDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77222 | PA      | $78576.95      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2110, Class PG                                                                                      | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83462 | PA      | $84269.72      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2126, Class CB                                                                                      | CUSIP: 3133TJDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53333 | PA      | $54069.53      | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2125, Class JZ                                                                                      | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23775 | PA      | $24192.55      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2132, Class SB                                                                                      | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2557 | PA      | $2872.50       | 0.00%             | 2029-03-15      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2141                                                                                                | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        980 | PA      | $43.03         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2169, Class TB                                                                                      | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69187 | PA      | $71387.31      | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2163, Class PC                                                                                      | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5125 | PA      | $268.67        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2172, Class QC                                                                                      | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49629 | PA      | $51241.17      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2176, Class OJ                                                                                      | CUSIP: 3133TLTY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28766 | PA      | $29115.00      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2201, Class C                                                                                       | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8869 | PA      | $9072.68       | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2196, Class TL                                                                                      | CUSIP: 3133TMSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $157.00        | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2209, Class TC                                                                                      | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12239 | PA      | $12752.36      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2210, Class Z                                                                                       | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55440 | PA      | $57872.12      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2208, Class PG                                                                                      | CUSIP: 3133TNFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58610 | PA      | $60594.50      | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2224, Class CB                                                                                      | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13406 | PA      | $13946.49      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2230, Class Z                                                                                       | CUSIP: 3133TNSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14191 | PA      | $14735.08      | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2234, Class PZ                                                                                      | CUSIP: 3133TNXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14451 | PA      | $15101.43      | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2247, Class Z                                                                                       | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17343 | PA      | $18068.79      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2256, Class MC                                                                                      | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22532 | PA      | $23478.80      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2262, Class Z                                                                                       | CUSIP: 3133TQ5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3305 | PA      | $3477.23       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2259, Class ZM                                                                                      | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50124 | PA      | $51871.43      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2271, Class PC                                                                                      | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48162 | PA      | $50306.56      | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2296, Class PD                                                                                      | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29750 | PA      | $31015.41      | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2313, Class LA                                                                                      | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5454 | PA      | $5581.83       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2325, Class PM                                                                                      | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17159 | PA      | $17915.23      | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2359, Class ZB                                                                                      | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52525 | PA      | $56529.04      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2441, Class GF                                                                                      | CUSIP: 3133TVJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22612 | PA      | $23751.42      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2436, Class MC                                                                                      | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18826 | PA      | $19242.07      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class TC                                                                                      | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119385 | PA      | $125493.75     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class ZA                                                                                      | CUSIP: 3133TVUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112246 | PA      | $113992.14     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31348SG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2914 | PA      | $2903.36       | 0.00%             | 2026-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40078 | PA      | $40891.67      | 0.00%             | 2033-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185810 | PA      | $192757.71     | 0.00%             | 2036-11-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154256 | PA      | $158491.37     | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345533 | PA      | $356998.32     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102971 | PA      | $105758.96     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 197                                                                                                | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52065 | PA      | $50120.67      | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  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        |     352752 | PA      | $362008.80     | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-52                                                                                              | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4325 | PA      | $503.43        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1996-48, Class Z                                                                                     | CUSIP: 31359KXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        270 | PA      | $269.66        | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-27, Class J                                                                                     | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2055 | PA      | $2072.73       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-29, Class J                                                                                     | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3786 | PA      | $3819.02       | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-32, Class PG                                                                                    | CUSIP: 31359PMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $526.47        | 0.00%             | 2027-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-39, Class PD                                                                                    | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13486 | PA      | $13605.95      | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-42, Class ZC                                                                                    | CUSIP: 31359PX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $108.04        | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-81, Class PI                                                                                    | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5170 | PA      | $185.49        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-33, Class ID                                                                                    | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64916 | PA      | $6496.16       | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-7, Class PF                                                                                     | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4210 | PA      | $4404.20       | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1998-36, Class ZB                                                                                    | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8168 | PA      | $8247.12       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-18, Class Z                                                                                     | CUSIP: 31359VRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $295.05        | 0.00%             | 2029-04-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-17, Class C                                                                                     | CUSIP: 31359VSW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5349 | PA      | $5420.83       | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | 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        |     205819 | PA      | $212957.80     | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-62, Class PB                                                                                    | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5610 | PA      | $5688.63       | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-2, Class ZE                                                                                     | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41448 | PA      | $43072.87      | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2439 | PA      | $2415.63       | 0.00%             | 2027-09-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-75, Class FA                                                                                    | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149161 | PA      | $148915.77     | 0.00%             | 2041-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class MT                                                                                   | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2648605 | PA      | $2828029.32    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class LB                                                                                   | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2116337 | PA      | $2273888.87    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class NT                                                                                   | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2367011 | PA      | $2546204.38    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class MF                                                                                   | CUSIP: 3136A3FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346560 | PA      | $345803.81     | 0.00%             | 2041-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class EF                                                                                   | CUSIP: 3136A3FM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73199 | PA      | $73075.83      | 0.00%             | 2041-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-97, Class FB                                                                                    | CUSIP: 3136A72Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1484579 | PA      | $1472267.64    | 0.00%             | 2042-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-101, Class FC                                                                                   | CUSIP: 3136A76U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453077 | PA      | $449235.78     | 0.00%             | 2042-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-108, Class F                                                                                    | CUSIP: 3136A8Q52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1168084 | PA      | $1158525.08    | 0.00%             | 2042-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-99, Class FA                                                                                    | CUSIP: 3136A8VS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     761644 | PA      | $753189.26     | 0.00%             | 2042-09-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-120, Class ZB                                                                                   | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4380518 | PA      | $4184957.68    | 0.01%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-4, Class AJ                                                                                     | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     803711 | PA      | $770374.56     | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-81, Class TA                                                                                    | CUSIP: 3136AFK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     977615 | PA      | $967508.98     | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-92                                                                                              | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3160372 | PA      | $2426590.25    | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-100, Class WB                                                                                   | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4057186 | PA      | $3940066.85    | 0.01%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-101, Class DO                                                                                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2822075 | PA      | $2150490.21    | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-128                                                                                             | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4958267 | PA      | $3809360.24    | 0.01%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-135                                                                                             | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1720648 | PA      | $1316506.31    | 0.00%             | 2044-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2014-29, Class PS                                                                                    | CUSIP: 3136AJT89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1669158 | PA      | $191572.14     | 0.00%             | 2044-05-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M10, Class A2                                                                                     | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25862331 | PA      | $25614267.18   | 0.05%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2016-M1, Class A2                                                                                      | CUSIP: 3136AQV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7949786 | PA      | $7926564.63    | 0.01%             | 2026-01-25      | Variable      | 2.94%                 | 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        |   85696510 | PA      | $84317138.98   | 0.16%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M3, Class A2                                                                                      | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6458045 | PA      | $6364212.49    | 0.01%             | 2026-12-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M8, Class A2                                                                                      | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21411605 | PA      | $21174293.86   | 0.04%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M5, Class A2                                                                                      | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3560943 | PA      | $3474372.87    | 0.01%             | 2029-04-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M11, Class A2                                                                                     | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12154699 | PA      | $11736869.89   | 0.02%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M12, Class A2                                                                                     | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22572807 | PA      | $22262469.51   | 0.04%             | 2027-06-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M15, Class A2                                                                                     | CUSIP: 3136AY6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7959031 | PA      | $7850569.96    | 0.01%             | 2027-09-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M2, Class A2                                                                                      | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16902637 | PA      | $16586063.87   | 0.03%             | 2028-01-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M3, Class A2                                                                                      | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10248275 | PA      | $9922476.95    | 0.02%             | 2030-02-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M4, Class A2                                                                                      | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15629255 | PA      | $15393030.00   | 0.03%             | 2028-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-63, Class DA                                                                                    | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096127 | PA      | $1027711.70    | 0.00%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-42, Class B                                                                                     | CUSIP: 3136B2AQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28233154 | PA      | $25838426.47   | 0.05%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M8, Class A2                                                                                      | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27799156 | PA      | $27485461.74   | 0.05%             | 2028-06-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M10, Class A2                                                                                     | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43615108 | PA      | $43262392.99   | 0.08%             | 2028-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M9, Class APT2                                                                                    | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54200544 | PA      | $53247351.41   | 0.10%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-94, Class DZ                                                                                    | CUSIP: 3136B3WZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8929011 | PA      | $8559322.73    | 0.02%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M10, Class X                                                                                      | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65459808 | PA      | $1756888.87    | 0.00%             | 2049-05-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M7, Class A2                                                                                      | CUSIP: 3136B4QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32374373 | PA      | $31586562.15   | 0.06%             | 2029-04-25      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M5, Class A2                                                                                      | CUSIP: 3136B8TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39201704 | PA      | $36663640.22   | 0.07%             | 2030-01-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class 2A1                                                                                    | CUSIP: 3136BBHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5795741 | PA      | $5488433.49    | 0.01%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class X2                                                                                     | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47071782 | PA      | $1837296.39    | 0.00%             | 2028-11-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class A2                                                                                     | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9808516 | PA      | $9422803.61    | 0.02%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class X1                                                                                     | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  159249201 | PA      | $5636322.91    | 0.01%             | 2030-10-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2020-90, Class PE                                                                                    | CUSIP: 3136BCL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10068727 | PA      | $8209124.55    | 0.02%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2021-M3, Class X1                                                                                      | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  109669475 | PA      | $6810112.51    | 0.01%             | 2033-11-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M5, Class A1                                                                                      | CUSIP: 3136BLN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13925486 | PA      | $13184870.39   | 0.02%             | 2034-01-01      | Variable      | 2.41%                 | 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      | $25166671.23   | 0.05%             | 2031-09-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M3, Class A2                                                                                      | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45000000 | PA      | $39215205.00   | 0.07%             | 2031-11-25      | Variable      | 1.76%                 | 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      | $5154947.20    | 0.01%             | 2032-01-25      | Variable      | 1.99%                 | 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      | $43235245.91   | 0.08%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M13, Class A2                                                                                     | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60253000 | PA      | $55126771.16   | 0.10%             | 2032-06-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M2S, Class A2                                                                                     | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56250000 | PA      | $54708553.13   | 0.10%             | 2032-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2023-40                                                                                              | CUSIP: 3136BQGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13952795 | PA      | $11881448.30   | 0.02%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2024-M2, Class A1                                                                                      | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12455307 | PA      | $12754460.80   | 0.02%             | 2033-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2023-M8, Class A1                                                                                      | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10418686 | PA      | $10589290.81   | 0.02%             | 2032-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2023-M8, Class A2                                                                                      | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71539958 | PA      | $72681449.57   | 0.14%             | 2033-03-25      | Variable      | 4.63%                 | 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      | $107427064.25  | 0.20%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-18, Class MA                                                                                    | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  155292041 | PA      | $132628595.92  | 0.25%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2025-31, Class MA                                                                                    | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9789541 | PA      | $8280551.40    | 0.02%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 329, Class 1                                                                                        | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18572 | PA      | $16789.21      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 345, Class 6                                                                                        | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27449 | PA      | $3087.36       | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 374, Class 5                                                                                        | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78388 | PA      | $12030.69      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 365, Class 8                                                                                        | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117888 | PA      | $20939.99      | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 383, Class 33                                                                                       | CUSIP: 3136FFPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82900 | PA      | $14662.94      | 0.00%             | 2038-01-25      | 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        |      31792 | PA      | $2794.20       | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3758 | PA      | $3844.45       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17431 | PA      | $17721.62      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121247 | PA      | $124413.48     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371ML88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49159 | PA      | $49857.73      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10804 | PA      | $11293.81      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5526 | PA      | $5653.34       | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MWM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10797 | PA      | $11167.94      | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23011 | PA      | $23541.41      | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15471 | PA      | $15828.36      | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NNY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43422 | PA      | $44424.07      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75890 | PA      | $77640.96      | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371NVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72561 | PA      | $74762.16      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     584705 | PA      | $627418.67     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1460 | PA      | $1447.98       | 0.00%             | 2029-03-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        310 | PA      | $324.21        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168891 | PA      | $173256.10     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31377UYB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14761136 | PA      | $14639669.39   | 0.03%             | 2028-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3688, Class GT                                                                                      | CUSIP: 3137A0ML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1461250 | PA      | $1568705.47    | 0.00%             | 2046-11-15      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class CT                                                                                      | CUSIP: 3137A0XM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3135412 | PA      | $3367917.24    | 0.01%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class DT                                                                                      | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1398475 | PA      | $1510387.78    | 0.00%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class ET                                                                                      | CUSIP: 3137A0YK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1238282 | PA      | $1369299.08    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class GZ                                                                                      | CUSIP: 3137A4F51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5333746 | PA      | $5360982.21    | 0.01%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class Z                                                                                       | CUSIP: 3137A4FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14907774 | PA      | $14958233.64   | 0.03%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3793, Class AB                                                                                      | CUSIP: 3137A5DZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7886 | PA      | $7869.05       | 0.00%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3802, Class LS                                                                                      | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1333244 | PA      | $123214.66     | 0.00%             | 2040-01-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3819, Class ZQ                                                                                      | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1776121 | PA      | $1877639.83    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3860, Class PZ                                                                                      | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8592965 | PA      | $8767219.53    | 0.02%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class QN                                                                                      | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     484139 | PA      | $468420.34     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class TP                                                                                      | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1302739 | PA      | $1325390.61    | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3895, Class WA                                                                                      | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195594 | PA      | $204648.60     | 0.00%             | 2038-10-15      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3920, Class LP                                                                                      | CUSIP: 3137AF3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     630483 | PA      | $647409.13     | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3957, Class B                                                                                       | CUSIP: 3137AHAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     843964 | PA      | $832098.00     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3966, Class NA                                                                                      | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     754712 | PA      | $746736.31     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4012, Class FN                                                                                      | CUSIP: 3137AMMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2352538 | PA      | $2336581.56    | 0.00%             | 2042-03-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4032, Class TO                                                                                      | CUSIP: 3137APJ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     882267 | PA      | $756429.35     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FB                                                                                      | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1056891 | PA      | $1052262.21    | 0.00%             | 2041-10-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FJ                                                                                      | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1382450 | PA      | $1366280.53    | 0.00%             | 2037-07-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4077, Class FB                                                                                      | CUSIP: 3137ASAP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1110676 | PA      | $1101324.23    | 0.00%             | 2042-07-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4217, Class KY                                                                                      | CUSIP: 3137B2KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1794000 | PA      | $1616318.29    | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4238, Class WY                                                                                      | CUSIP: 3137B4FZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1351464 | PA      | $1312631.20    | 0.00%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4257, Class DZ                                                                                      | CUSIP: 3137B57H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6621341 | PA      | $5899341.48    | 0.01%             | 2043-10-15      | Fixed         | 2.50%                 | No            |                  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      | $1097219.47    | 0.00%             | 2030-09-25      | Variable      | 1.17%                 | 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      | $17158303.31   | 0.03%             | 2027-11-25      | Variable      | 3.30%                 | 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      | $14581580.81   | 0.03%             | 2027-12-25      | Fixed         | 3.44%                 | 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      | $18857308.10   | 0.04%             | 2027-12-25      | Variable      | 3.50%                 | 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      | $21494146.78   | 0.04%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4809, Class ZM                                                                                      | CUSIP: 3137FGPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18976694 | PA      | $18210726.41   | 0.03%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4837, Class ZB                                                                                      | CUSIP: 3137FJDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6440374 | PA      | $6163903.92    | 0.01%             | 2048-10-15      | Fixed         | 4.00%                 | 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      | $1534374.02    | 0.00%             | 2028-08-25      | Variable      | 3.90%                 | 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      | $12054450.97   | 0.02%             | 2028-09-25      | Variable      | 3.92%                 | 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        |    4037248 | PA      | $4034734.70    | 0.01%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  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      | $353652.95     | 0.00%             | 2029-01-25      | Fixed         | 3.69%                 | 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      | $18160487.40   | 0.03%             | 2035-02-25      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5008, Class LB                                                                                      | CUSIP: 3137FVYW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18898665 | PA      | $15538905.58   | 0.03%             | 2050-08-25      | Fixed         | 1.50%                 | 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      | $2827342.92    | 0.01%             | 2030-07-25      | Variable      | 1.54%                 | No            |                  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        |   13762914 | PA      | $13282266.37   | 0.02%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SB                                                                                      | CUSIP: 3137GARP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     695559 | PA      | $63670.76      | 0.00%             | 2040-10-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SC                                                                                      | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     715202 | PA      | $78683.85      | 0.00%             | 2040-10-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5190, Class PH                                                                                      | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17301126 | PA      | $16098801.32   | 0.03%             | 2052-02-25      | Fixed         | 2.50%                 | 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      | $21289980.66   | 0.04%             | 2032-01-25      | Fixed         | 1.89%                 | No            |                  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      | $53015689.36   | 0.10%             | 2032-03-25      | Fixed         | 2.40%                 | 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      | $37298378.96   | 0.07%             | 2032-05-25      | Fixed         | 2.58%                 | 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      | $25255387.01   | 0.05%             | 2032-06-25      | Fixed         | 2.92%                 | 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      | $25049579.40   | 0.05%             | 2032-07-25      | Fixed         | 2.92%                 | 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      | $8459849.41    | 0.02%             | 2032-11-25      | Fixed         | 4.12%                 | No            |                  2 | 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      | $20228420.52   | 0.04%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 5354                                                                                                | CUSIP: 3137HAT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6009173 | PA      | $4608713.99    | 0.01%             | 2053-10-25      | None          | 0.00%                 | 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      | $41692968.91   | 0.08%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  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      | $18831881.24   | 0.04%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3203 | PA      | $3277.35       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381R4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4573749 | PA      | $4589251.64    | 0.01%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1893977 | PA      | $1896706.84    | 0.00%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31385XLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78610 | PA      | $80394.15      | 0.00%             | 2033-08-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32822 | PA      | $33950.21      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ABXM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164060 | PA      | $166456.07     | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306036 | PA      | $317436.57     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259045 | PA      | $266580.46     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138EJ3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179406 | PA      | $173164.99     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4372362 | PA      | $4296720.22    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4849476 | PA      | $4800614.91    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3271852 | PA      | $3124988.25    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7128304 | PA      | $6807653.92    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12142909 | PA      | $11595159.94   | 0.02%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQLH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2838483 | PA      | $2864233.47    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L1T33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3235406 | PA      | $3188902.40    | 0.01%             | 2027-11-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3106258 | PA      | $3097711.01    | 0.01%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16735920 | PA      | $16587061.52   | 0.03%             | 2026-12-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4706259 | PA      | $4505501.45    | 0.01%             | 2034-11-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7EW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8624063 | PA      | $8561692.53    | 0.02%             | 2026-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7YH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2498008 | PA      | $2477707.10    | 0.00%             | 2026-12-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L83S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10440359 | PA      | $10309701.18   | 0.02%             | 2027-02-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8B86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14787169 | PA      | $14656513.24   | 0.03%             | 2026-12-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $12797546.19   | 0.02%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8UK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5452159 | PA      | $5285656.74    | 0.01%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L92X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11320000 | PA      | $10863799.36   | 0.02%             | 2030-05-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9AZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7067806 | PA      | $6808529.77    | 0.01%             | 2030-02-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9BV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11470290 | PA      | $11020625.50   | 0.02%             | 2030-05-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4255975 | PA      | $4021335.91    | 0.01%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1726481 | PA      | $1631297.22    | 0.00%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13508459 | PA      | $13071567.92   | 0.02%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $24143336.00   | 0.05%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9X98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3562029 | PA      | $3503537.19    | 0.01%             | 2027-06-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6954746 | PA      | $6690886.40    | 0.01%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22850419 | PA      | $20849903.93   | 0.04%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3968668 | PA      | $3916197.45    | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6723433 | PA      | $6656821.24    | 0.01%             | 2027-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LASW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3241296 | PA      | $3091647.38    | 0.01%             | 2035-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5116133 | PA      | $4919914.61    | 0.01%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7260937 | PA      | $7236055.35    | 0.01%             | 2026-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9848000 | PA      | $9753084.98    | 0.02%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7998000 | PA      | $7918250.82    | 0.01%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDUX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11034000 | PA      | $10933515.57   | 0.02%             | 2026-06-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5672306 | PA      | $5524397.45    | 0.01%             | 2028-06-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8095533 | PA      | $8023987.73    | 0.02%             | 2026-05-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LE4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8858098 | PA      | $8184760.74    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6679146 | PA      | $6334033.57    | 0.01%             | 2031-06-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8978281 | PA      | $8716416.69    | 0.02%             | 2028-07-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5585961 | PA      | $5518446.35    | 0.01%             | 2026-08-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $23151884.50   | 0.04%             | 2031-10-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LHTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26680000 | PA      | $25568431.43   | 0.05%             | 2032-04-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LJU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9181010 | PA      | $8612360.86    | 0.02%             | 2033-07-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12600857 | PA      | $12114248.34   | 0.02%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5915501 | PA      | $5815012.80    | 0.01%             | 2027-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43775000 | PA      | $43317854.17   | 0.08%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18431595 | PA      | $18082381.79   | 0.03%             | 2027-12-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13701041 | PA      | $13494061.22   | 0.03%             | 2028-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LMAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7112627 | PA      | $6997971.54    | 0.01%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3795956 | PA      | $3747427.89    | 0.01%             | 2030-05-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $59130277.20   | 0.11%             | 2030-09-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25499754 | PA      | $25319254.90   | 0.05%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $23309084.88   | 0.04%             | 2033-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29377564 | PA      | $29138041.67   | 0.05%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32550000 | PA      | $31325339.13   | 0.06%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LPBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8409612 | PA      | $8151812.85    | 0.02%             | 2033-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1151584 | PA      | $1128570.42    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138LYTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278210 | PA      | $273864.61     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1444772 | PA      | $1415903.29    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1712027 | PA      | $1675122.29    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MN2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     661310 | PA      | $646830.12     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2317271 | PA      | $2151323.93    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NJA73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4217536 | PA      | $4234135.64    | 0.01%             | 2026-12-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5071817 | PA      | $4708590.93    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1222950 | PA      | $1207310.78    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WGFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17566001 | PA      | $16818355.93   | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WRQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539145 | PA      | $514947.84     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WTRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8234639 | PA      | $7644977.24    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WTSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3051442 | PA      | $2914511.13    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     442680 | PA      | $435133.61     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138XMJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1762401 | PA      | $1722800.36    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138YBK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5041810 | PA      | $4796158.71    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31390MLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2901 | PA      | $2913.06       | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3906 | PA      | $3927.50       | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151450 | PA      | $151923.65     | 0.00%             | 2033-09-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2726 | PA      | $2788.54       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35544 | PA      | $36363.94      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391XJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82537 | PA      | $85373.15      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PD                                                                                    | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12119 | PA      | $12648.98      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PU                                                                                    | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14082 | PA      | $14822.74      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class MY                                                                                    | CUSIP: 3139205U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82882 | PA      | $86833.50      | 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        |      30347 | PA      | $31250.50      | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-36, Class DE                                                                                    | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72356 | PA      | $75439.82      | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class PX                                                                                    | CUSIP: 3139213T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108975 | PA      | $112639.97     | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class QS                                                                                    | CUSIP: 3139214L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38985 | PA      | $45644.60      | 0.00%             | 2031-09-25      | Floating      | 9.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-49, Class Z                                                                                     | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19702 | PA      | $20575.05      | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-52, Class KB                                                                                    | CUSIP: 313921KW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13930 | PA      | $14312.67      | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-61, Class Z                                                                                     | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121906 | PA      | $127009.64     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129992 | PA      | $133493.45     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class SJ                                                                                    | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61737 | PA      | $1010.98       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class ST                                                                                    | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        940 | PA      | $984.89        | 0.00%             | 2032-03-25      | Floating      | 10.00%                | 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        |    4012341 | PA      | $4148239.86    | 0.01%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-72, Class SX                                                                                    | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1932 | PA      | $2190.22       | 0.00%             | 2031-12-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-81, Class LO                                                                                    | CUSIP: 31392BNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2509 | PA      | $2204.30       | 0.00%             | 2032-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-1, Class SA                                                                                     | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11659 | PA      | $13864.64      | 0.00%             | 2032-02-25      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-28, Class PK                                                                                    | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101360 | PA      | $105944.04     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-15, Class ZA                                                                                    | CUSIP: 31392CKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286611 | PA      | $297256.71     | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class LO                                                                                    | CUSIP: 31392CNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3353 | PA      | $2959.36       | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class PE                                                                                    | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49125 | PA      | $51433.75      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-37, Class Z                                                                                     | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47718 | PA      | $49482.24      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | 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        |    7634476 | PA      | $7672867.46    | 0.01%             | 2042-06-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-48, Class GH                                                                                    | CUSIP: 31392DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115240 | PA      | $120993.26     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-77, Class S                                                                                     | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20044 | PA      | $20837.81      | 0.00%             | 2032-12-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-78, Class Z                                                                                     | CUSIP: 31392FA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280919 | PA      | $289875.62     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  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        |     502727 | PA      | $536605.34     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-71, Class AP                                                                                    | CUSIP: 31392FES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12143 | PA      | $12071.97      | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | 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        |     222090 | PA      | $225255.96     | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | 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        |     384644 | PA      | $388658.96     | 0.00%             | 2042-12-25      | Variable      | 4.70%                 | 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        |     110123 | PA      | $111517.54     | 0.00%             | 2042-12-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-9, Class NZ                                                                                     | CUSIP: 31392HA45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55124 | PA      | $57990.01      | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | 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        |     363708 | PA      | $380968.66     | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | 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        |     211605 | PA      | $214454.99     | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-14, Class TI                                                                                    | CUSIP: 31392JFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13934 | PA      | $179.35        | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2435, Class CJ                                                                                      | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123457 | PA      | $129580.04     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2455, Class GK                                                                                      | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73409 | PA      | $77370.20      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class SW                                                                                      | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38270 | PA      | $3657.29       | 0.00%             | 2032-03-15      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class GZ                                                                                      | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73448 | PA      | $77950.22      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2444, Class ES                                                                                      | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58670 | PA      | $5253.20       | 0.00%             | 2032-03-15      | Floating      | 3.69%                 | 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        |     259905 | PA      | $241922.56     | 0.00%             | 2032-07-25      | Variable      | 4.40%                 | No            |                  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        |    1033553 | PA      | $1122596.98    | 0.00%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class DH                                                                                      | CUSIP: 31392MM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25792 | PA      | $27156.36      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class PH                                                                                      | CUSIP: 31392MN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94866 | PA      | $99732.48      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2458, Class ZM                                                                                      | CUSIP: 31392PAG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35291 | PA      | $35832.86      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2474, Class NR                                                                                      | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86089 | PA      | $89829.22      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2484, Class LZ                                                                                      | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105948 | PA      | $111571.21     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2475, Class S                                                                                       | CUSIP: 31392RB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148238 | PA      | $16644.41      | 0.00%             | 2032-02-15      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2500, Class MC                                                                                      | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69826 | PA      | $72690.61      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | 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        |     725231 | PA      | $705089.59     | 0.00%             | 2033-07-25      | Variable      | 4.33%                 | 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        |     224308 | PA      | $228490.20     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-39                                                                                              | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21604 | PA      | $3063.28       | 0.00%             | 2033-05-25      | Variable      | 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        |     516348 | PA      | $512699.63     | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | 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        |      52431 | PA      | $53308.02      | 0.00%             | 2042-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-33, Class IA                                                                                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196226 | PA      | $25248.98      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-35, Class EA                                                                                    | CUSIP: 31393BP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16034 | PA      | $14271.03      | 0.00%             | 2033-05-25      | None          | 0.00%                 | 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        |    1194620 | PA      | $1193862.87    | 0.00%             | 2042-09-25      | Fixed         | 5.20%                 | 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        |     421355 | PA      | $434008.56     | 0.00%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-42, Class GB                                                                                    | CUSIP: 31393BUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37821 | PA      | $37428.03      | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class GE                                                                                    | CUSIP: 31393CAU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224214 | PA      | $233910.29     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class AX                                                                                    | CUSIP: 31393CDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80162 | PA      | $84201.52      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class ED                                                                                    | CUSIP: 31393CDP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357705 | PA      | $371870.28     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-47, Class PE                                                                                    | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152071 | PA      | $158792.24     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-52, Class SX                                                                                    | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25718 | PA      | $29274.10      | 0.00%             | 2031-10-25      | Floating      | 10.39%                | 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        |     457997 | PA      | $472503.99     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | 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        |      96665 | PA      | $96458.59      | 0.00%             | 2042-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-73, Class HC                                                                                    | CUSIP: 31393DB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233576 | PA      | $243344.99     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-64, Class SX                                                                                    | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53163 | PA      | $52755.87      | 0.00%             | 2033-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-72, Class IE                                                                                    | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621602 | PA      | $72503.35      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-105, Class AZ                                                                                   | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1730668 | PA      | $1802561.62    | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-74, Class SH                                                                                    | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42217 | PA      | $38234.80      | 0.00%             | 2033-08-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-71, Class DS                                                                                    | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282146 | PA      | $268485.86     | 0.00%             | 2033-08-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-91, Class SD                                                                                    | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35351 | PA      | $37249.96      | 0.00%             | 2033-09-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2544, Class HC                                                                                      | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64266 | PA      | $67164.43      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2543, Class YX                                                                                      | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202455 | PA      | $211292.59     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2552, Class ME                                                                                      | CUSIP: 31393HXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140569 | PA      | $146090.68     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2567, Class QD                                                                                      | CUSIP: 31393KA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130464 | PA      | $136366.78     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2575, Class ME                                                                                      | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     559508 | PA      | $584311.20     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class FY                                                                                      | CUSIP: 31393L6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98493 | PA      | $99017.77      | 0.00%             | 2032-12-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class SY                                                                                      | CUSIP: 31393LB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58088 | PA      | $64259.15      | 0.00%             | 2032-12-15      | Floating      | 8.38%                 | 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        |    1317105 | PA      | $1336379.41    | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  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        |     421611 | PA      | $443243.41     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2586, Class WI                                                                                      | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46058 | PA      | $5969.94       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2596, Class QG                                                                                      | CUSIP: 31393NXU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74319 | PA      | $77863.33      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | 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        |    2696266 | PA      | $2599366.04    | 0.00%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2631, Class SA                                                                                      | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159167 | PA      | $168098.41     | 0.00%             | 2033-06-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-116, Class SB                                                                                   | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227227 | PA      | $20305.94      | 0.00%             | 2033-11-25      | Floating      | 3.41%                 | 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        |     740971 | PA      | $778184.15     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-122, Class ZJ                                                                                   | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1381145 | PA      | $1450302.94    | 0.00%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-132, Class OA                                                                                   | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1150 | PA      | $1123.80       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-130, Class SX                                                                                   | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2733.39       | 0.00%             | 2034-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2642, Class SL                                                                                      | CUSIP: 31393VYC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4017 | PA      | $3593.92       | 0.00%             | 2033-07-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2653, Class PZ                                                                                      | CUSIP: 31393WQ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     645802 | PA      | $660209.57     | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class FA                                                                                    | CUSIP: 31393X5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     458516 | PA      | $456357.84     | 0.00%             | 2034-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class SA                                                                                    | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196051 | PA      | $219101.25     | 0.00%             | 2034-05-25      | Floating      | 8.01%                 | 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        |     617097 | PA      | $624467.59     | 0.00%             | 2043-11-25      | Fixed         | 7.50%                 | 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        |     251813 | PA      | $256106.63     | 0.00%             | 2043-07-25      | Variable      | 5.43%                 | 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        |      63251 | PA      | $65340.73      | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | 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        |      94909 | PA      | $98575.79      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-25, Class SA                                                                                    | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68497 | PA      | $74772.48      | 0.00%             | 2034-04-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-17, Class H                                                                                     | CUSIP: 31393XZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588195 | PA      | $608600.78     | 0.00%             | 2034-04-25      | 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        |      32988 | PA      | $34288.40      | 0.00%             | 2034-07-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-28, Class PF                                                                                    | CUSIP: 31393YFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9305 | PA      | $9303.93       | 0.00%             | 2034-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class EP                                                                                    | CUSIP: 31393YQ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10144 | PA      | $10092.39      | 0.00%             | 2034-03-25      | 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        |      15999 | PA      | $17196.86      | 0.00%             | 2034-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class QB                                                                                    | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44623 | PA      | $48109.97      | 0.00%             | 2034-05-25      | Floating      | 7.25%                 | 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        |    1206463 | PA      | $1237640.30    | 0.00%             | 2044-02-25      | Fixed         | 6.50%                 | 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        |     513147 | PA      | $529701.48     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | 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        |      89120 | PA      | $95519.70      | 0.00%             | 2044-01-25      | Variable      | 9.11%                 | 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        |     329316 | PA      | $345155.48     | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-50, Class VZ                                                                                    | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1088639 | PA      | $1136888.17    | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | 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        |      75930 | PA      | $78105.18      | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | 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        |    1320257 | PA      | $1365235.85    | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-74, Class SW                                                                                    | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37767 | PA      | $39744.14      | 0.00%             | 2031-11-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SH                                                                                    | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13177 | PA      | $14070.86      | 0.00%             | 2032-11-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SK                                                                                    | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35552 | PA      | $37071.14      | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-59, Class BG                                                                                    | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24401 | PA      | $21932.97      | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF                                                                       | CUSIP: 31394B2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306938 | PA      | $304074.12     | 0.00%             | 2044-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-87, Class F                                                                                     | CUSIP: 31394BNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307604 | PA      | $309372.61     | 0.00%             | 2034-01-25      | Floating      | 4.94%                 | 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        |     551406 | PA      | $574929.35     | 0.00%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-56, Class S                                                                                     | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169301 | PA      | $12800.28      | 0.00%             | 2035-07-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-25, Class PF                                                                                    | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268354 | PA      | $266256.45     | 0.00%             | 2035-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-42, Class PS                                                                                    | CUSIP: 31394DRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5202 | PA      | $5396.55       | 0.00%             | 2035-05-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-68, Class PG                                                                                    | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176906 | PA      | $181734.09     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class ZB                                                                                    | CUSIP: 31394EB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1995589 | PA      | $2072142.95    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class PS                                                                                    | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65599 | PA      | $68065.84      | 0.00%             | 2035-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-66, Class SG                                                                                    | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81006 | PA      | $90143.59      | 0.00%             | 2035-07-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-59, Class SU                                                                                    | CUSIP: 31394ETN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83129 | PA      | $93496.22      | 0.00%             | 2035-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-72, Class SB                                                                                    | CUSIP: 31394EWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36529 | PA      | $38667.97      | 0.00%             | 2035-08-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-75, Class SV                                                                                    | CUSIP: 31394FAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11095 | PA      | $12713.00      | 0.00%             | 2035-09-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-84, Class XM                                                                                    | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115320 | PA      | $119014.03     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | 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        |    2556015 | PA      | $2534199.76    | 0.00%             | 2045-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-90, Class ES                                                                                    | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60646 | PA      | $64237.21      | 0.00%             | 2035-10-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2671, Class S                                                                                       | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47338 | PA      | $52382.93      | 0.00%             | 2033-09-15      | Floating      | 6.95%                 | 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        |     244570 | PA      | $266543.25     | 0.00%             | 2043-07-25      | Fixed         | 7.50%                 | 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        |      86052 | PA      | $52856.29      | 0.00%             | 2043-07-25      | None          | 0.00%                 | No            |                  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        |    1284960 | PA      | $1341378.23    | 0.00%             | 2043-09-25      | Fixed         | 7.50%                 | 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        |      82783 | PA      | $68755.92      | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2692, Class SC                                                                                      | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77831 | PA      | $83442.04      | 0.00%             | 2033-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2204, Class GB                                                                                      | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1618 | PA      | $175.36        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2722, Class PF                                                                                      | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393059 | PA      | $393634.56     | 0.00%             | 2033-12-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2733, Class SB                                                                                      | CUSIP: 31394NUY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1207063 | PA      | $1204829.17    | 0.00%             | 2033-10-15      | Floating      | 4.18%                 | 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        |    1238231 | PA      | $1307849.30    | 0.00%             | 2043-10-25      | Fixed         | 7.00%                 | 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        |     101340 | PA      | $52517.39      | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2744, Class PE                                                                                      | CUSIP: 31394PR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        865 | PA      | $864.62        | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-106, Class US                                                                                   | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173726 | PA      | $183847.16     | 0.00%             | 2035-11-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-110, Class GL                                                                                   | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1339945 | PA      | $1398289.28    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-109, Class PC                                                                                   | CUSIP: 31394UZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14076 | PA      | $14356.65      | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class OA                                                                                    | CUSIP: 31394V4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37583 | PA      | $33952.08      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class HZ                                                                                    | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130442 | PA      | $135407.10     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-11, Class PS                                                                                    | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51770 | PA      | $62145.90      | 0.00%             | 2036-03-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                                        | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113926 | PA      | $117117.43     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-12, Class BZ                                                                                    | CUSIP: 31394VQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511504 | PA      | $535059.36     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class JZ                                                                                     | CUSIP: 31394VW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     634358 | PA      | $656286.75     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WQ                                                                                     | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     496889 | PA      | $418848.08     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WN                                                                                     | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1821927 | PA      | $179215.82     | 0.00%             | 2036-03-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2780, Class SY                                                                                      | CUSIP: 31394XSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29367 | PA      | $33385.72      | 0.00%             | 2033-11-15      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2802, Class OH                                                                                      | CUSIP: 31394YPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98025 | PA      | $101210.87     | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class FK                                                                                    | CUSIP: 31395B4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311506 | PA      | $308035.05     | 0.00%             | 2036-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class KO                                                                                    | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33627 | PA      | $30705.29      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-22, Class AO                                                                                    | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139439 | PA      | $125323.78     | 0.00%             | 2036-04-25      | 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        |      56310 | PA      | $49724.33      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class FW                                                                                    | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86998 | PA      | $86452.15      | 0.00%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class SW                                                                                    | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13923 | PA      | $15614.87      | 0.00%             | 2036-06-25      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                                                             | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1949781 | PA      | $1933968.10    | 0.00%             | 2046-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43                                                                                              | CUSIP: 31395DC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43812 | PA      | $39552.36      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43, Class DO                                                                                    | CUSIP: 31395DF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133657 | PA      | $117967.04     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-33, Class LS                                                                                    | CUSIP: 31395DKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43478 | PA      | $53264.67      | 0.00%             | 2036-05-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class PS                                                                                    | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348719 | PA      | $316610.50     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class JO                                                                                    | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279386 | PA      | $244278.39     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2835, Class QO                                                                                      | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12508 | PA      | $11285.86      | 0.00%             | 2032-12-15      | None          | 0.00%                 | 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        |    1312446 | PA      | $1208641.45    | 0.00%             | 2044-10-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2929, Class MS                                                                                      | CUSIP: 31395MB65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110414 | PA      | $120406.38     | 0.00%             | 2035-02-15      | Floating      | 9.43%                 | 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        |    1127234 | PA      | $1115593.94    | 0.00%             | 2046-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2006-W2, Class 2A                                                                         | CUSIP: 31395N5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383810 | PA      | $394936.05     | 0.00%             | 2045-11-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-62, Class PS                                                                                    | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36268 | PA      | $52787.58      | 0.00%             | 2036-07-25      | Floating      | 14.78%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class P                                                                                     | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239193 | PA      | $211335.99     | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class GO                                                                                    | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84159 | PA      | $75202.80      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class FL                                                                                    | CUSIP: 31395NC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84531 | PA      | $84147.43      | 0.00%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58                                                                                              | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52286 | PA      | $46027.08      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class AP                                                                                    | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28464 | PA      | $23412.46      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class IG                                                                                    | CUSIP: 31395NE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93095 | PA      | $7768.53       | 0.00%             | 2036-07-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-53, Class US                                                                                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341917 | PA      | $27723.45      | 0.00%             | 2036-06-25      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-63, Class ZH                                                                                    | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482588 | PA      | $520697.86     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-60, Class AK                                                                                    | CUSIP: 31395NUZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52144 | PA      | $60300.24      | 0.00%             | 2036-07-25      | Floating      | 12.05%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-56, Class FC                                                                                    | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695187 | PA      | $690630.06     | 0.00%             | 2036-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 411, Class F1                                                                                       | CUSIP: 31395QDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3457706 | PA      | $3437835.91    | 0.01%             | 2042-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 412, Class F2                                                                                       | CUSIP: 31395QDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1554175 | PA      | $1507500.22    | 0.00%             | 2042-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2968, Class EH                                                                                      | CUSIP: 31395RQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2315958 | PA      | $2395726.63    | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2981, Class FA                                                                                      | CUSIP: 31395U5N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117278 | PA      | $116694.01     | 0.00%             | 2035-05-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2988, Class AF                                                                                      | CUSIP: 31395UVT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234352 | PA      | $232367.77     | 0.00%             | 2035-06-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class GO                                                                                      | CUSIP: 31395V2T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90897 | PA      | $80278.93      | 0.00%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class WP                                                                                      | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1674 | PA      | $1732.74       | 0.00%             | 2035-06-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3014, Class OD                                                                                      | CUSIP: 31395XBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22394 | PA      | $19759.72      | 0.00%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3029, Class SO                                                                                      | CUSIP: 31396AH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63234 | PA      | $59011.69      | 0.00%             | 2035-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3064, Class SG                                                                                      | CUSIP: 31396ERQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90581 | PA      | $100074.09     | 0.00%             | 2035-11-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3085, Class WF                                                                                      | CUSIP: 31396FSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137565 | PA      | $138472.24     | 0.00%             | 2035-08-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3101, Class UZ                                                                                      | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318600 | PA      | $339759.08     | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3102, Class HS                                                                                      | CUSIP: 31396H5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8899 | PA      | $10300.28      | 0.00%             | 2036-01-15      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class AO                                                                                      | CUSIP: 31396HUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97717 | PA      | $90087.43      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class EO                                                                                      | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70771 | PA      | $63571.47      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OG                                                                                      | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31160 | PA      | $27727.45      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OK                                                                                      | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65721 | PA      | $58075.76      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3134                                                                                                | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17547 | PA      | $14710.67      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OH                                                                                      | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60311 | PA      | $52850.62      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OP                                                                                      | CUSIP: 31396JLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55952 | PA      | $51552.44      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class ZB                                                                                      | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31501 | PA      | $33909.24      | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R006, Class ZA                                                                            | CUSIP: 31396JT21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     818435 | PA      | $863066.16     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-94, Class GK                                                                                    | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1834 | PA      | $1900.24       | 0.00%             | 2026-10-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-95, Class SG                                                                                    | CUSIP: 31396K4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53712 | PA      | $67911.85      | 0.00%             | 2036-10-25      | Floating      | 9.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-65, Class QO                                                                                    | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95879 | PA      | $83227.29      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-85, Class MZ                                                                                    | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23780 | PA      | $25336.30      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-78, Class BZ                                                                                    | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70618 | PA      | $75680.79      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-77, Class PC                                                                                    | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151886 | PA      | $157178.66     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-72, Class TO                                                                                    | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30231 | PA      | $25323.16      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-86, Class OB                                                                                    | CUSIP: 31396KJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104864 | PA      | $90592.00      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA REMIC Trust, Series 2006-72, Class GO                                                                               | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151411 | PA      | $134708.48     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-90, Class AO                                                                                    | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49168 | PA      | $44458.74      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-71, Class ZL                                                                                    | CUSIP: 31396KUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117114 | PA      | $1179595.03    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class OP                                                                                    | CUSIP: 31396KXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107241 | PA      | $89973.31      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DF                                                                                    | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277539 | PA      | $275666.48     | 0.00%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DO                                                                                    | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65707 | PA      | $56607.77      | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A1                                                                                   | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174379 | PA      | $170466.44     | 0.00%             | 2036-12-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A2                                                                                   | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731656 | PA      | $718720.86     | 0.00%             | 2036-12-25      | Floating      | 4.36%                 | 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        |     260643 | PA      | $269077.67     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-117, Class GS                                                                                   | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387532 | PA      | $38532.07      | 0.00%             | 2036-12-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-119                                                                                             | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46007 | PA      | $41034.36      | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-109                                                                                             | CUSIP: 31396LQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32119 | PA      | $28115.82      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-111, Class EO                                                                                   | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82077 | PA      | $67192.05      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class ES                                                                                   | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6269 | PA      | $7098.33       | 0.00%             | 2036-12-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class OK                                                                                   | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80326 | PA      | $65924.50      | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-110                                                                                             | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147006 | PA      | $128799.48     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3137, Class XP                                                                                      | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243544 | PA      | $257598.87     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3138                                                                                                | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104718 | PA      | $92357.12      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3147                                                                                                | CUSIP: 31396NLC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114354 | PA      | $105283.32     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R007, Class ZA                                                                            | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1079407 | PA      | $1140410.67    | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3151                                                                                                | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111704 | PA      | $95798.19      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-18, Class MZ                                                                                    | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205327 | PA      | $217802.22     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-130, Class GI                                                                                   | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115431 | PA      | $6715.01       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class ES                                                                                    | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601569 | PA      | $66345.63      | 0.00%             | 2037-03-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class OP                                                                                    | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67956 | PA      | $60113.92      | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128                                                                                             | CUSIP: 31396PEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96246 | PA      | $84113.54      | 0.00%             | 2037-01-25      | 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        |      14280 | PA      | $14438.55      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | 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      | $127956.45     | 0.00%             | 2037-02-25      | Floating      | 13.88%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-10, Class FD                                                                                    | CUSIP: 31396PNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99455 | PA      | $98523.58      | 0.00%             | 2037-02-25      | Floating      | 4.44%                 | 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      | $89516.59      | 0.00%             | 2036-08-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-22, Class SC                                                                                    | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3336 | PA      | $112.79        | 0.00%             | 2037-03-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-16, Class FC                                                                                    | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110302 | PA      | $110734.12     | 0.00%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-69, Class WA                                                                                    | CUSIP: 31396Q5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236844 | PA      | $240452.52     | 0.00%             | 2039-09-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-65, Class MT                                                                                    | CUSIP: 31396QH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68610 | PA      | $70903.75      | 0.00%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-47, Class MT                                                                                    | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5947 | PA      | $6205.90       | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-52, Class PI                                                                                    | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209223 | PA      | $31015.03      | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-60, Class HT                                                                                    | CUSIP: 31396QPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1089998 | PA      | $1153155.17    | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-59, Class HB                                                                                    | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855917 | PA      | $878096.04     | 0.00%             | 2039-08-25      | 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        |       9404 | PA      | $9295.55       | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-70, Class CO                                                                                    | CUSIP: 31396QYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280414 | PA      | $233071.31     | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3149, Class SO                                                                                      | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61031 | PA      | $49856.77      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3153, Class EO                                                                                      | CUSIP: 31396RKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135345 | PA      | $118825.05     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3164, Class MG                                                                                      | CUSIP: 31396TDX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44084 | PA      | $47118.53      | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3171, Class MO                                                                                      | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147111 | PA      | $134363.54     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3195, Class PD                                                                                      | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130213 | PA      | $135606.39     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3194, Class SA                                                                                      | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36287 | PA      | $3878.82       | 0.00%             | 2036-07-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3179, Class OA                                                                                      | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58399 | PA      | $51157.65      | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3181, Class AZ                                                                                      | CUSIP: 31396UQN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204007 | PA      | $216875.75     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-28, Class EO                                                                                    | CUSIP: 31396VLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221511 | PA      | $193551.87     | 0.00%             | 2037-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA REMIC Trust, Series 2007-42, Class AO                                                                               | CUSIP: 31396VM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7638 | PA      | $6733.35       | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-35, Class SI                                                                                    | CUSIP: 31396VMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221291 | PA      | $11617.37      | 0.00%             | 2037-04-25      | Floating      | 1.91%                 | 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        |      93522 | PA      | $95353.38      | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-29, Class SG                                                                                    | CUSIP: 31396VQJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126247 | PA      | $151525.58     | 0.00%             | 2037-04-25      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-42, Class B                                                                                     | CUSIP: 31396VR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373759 | PA      | $396462.66     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-43, Class FL                                                                                    | CUSIP: 31396VVL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136899 | PA      | $135344.22     | 0.00%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class CB                                                                                    | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47226 | PA      | $50076.97      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class PE                                                                                    | CUSIP: 31396W5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89342 | PA      | $94669.64      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-53, Class SH                                                                                    | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457094 | PA      | $38936.20      | 0.00%             | 2037-06-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-54, Class WI                                                                                    | CUSIP: 31396WFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108095 | PA      | $11378.11      | 0.00%             | 2037-06-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                                        | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     679355 | PA      | $674128.06     | 0.00%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W5                                                                            | CUSIP: 31396WLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79112 | PA      | $65036.68      | 0.00%             | 2037-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-65, Class KI                                                                                    | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390733 | PA      | $40034.22      | 0.00%             | 2037-07-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-67                                                                                              | CUSIP: 31396WQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165688 | PA      | $148450.19     | 0.00%             | 2037-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-72, Class EK                                                                                    | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1185283 | PA      | $135085.80     | 0.00%             | 2037-07-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-70, Class Z                                                                                     | CUSIP: 31396WRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421044 | PA      | $439081.67     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-60, Class AX                                                                                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1740967 | PA      | $240737.12     | 0.00%             | 2037-07-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class AZ                                                                                    | CUSIP: 31396WT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50572 | PA      | $52737.31      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | 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        |      53036 | PA      | $73083.99      | 0.00%             | 2037-07-25      | Floating      | 14.06%                | 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        |     174244 | PA      | $173079.57     | 0.00%             | 2037-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class ZG                                                                                    | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104577 | PA      | $108165.87     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-62, Class SE                                                                                    | CUSIP: 31396WZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89993 | PA      | $98359.00      | 0.00%             | 2037-07-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class SA                                                                                   | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596109 | PA      | $79796.63      | 0.00%             | 2037-12-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class MJ                                                                                   | CUSIP: 31396X4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     439492 | PA      | $465623.91     | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-116, Class HI                                                                                   | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     927459 | PA      | $55519.65      | 0.00%             | 2038-01-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-81, Class GE                                                                                    | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186361 | PA      | $197524.70     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class FC                                                                                    | CUSIP: 31396XB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106460 | PA      | $106022.32     | 0.00%             | 2037-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class KI                                                                                    | CUSIP: 31396XB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389209 | PA      | $26300.51      | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | 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        |    1310691 | PA      | $1324194.13    | 0.00%             | 2036-06-27      | Floating      | 4.73%                 | No            |                  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        |      29243 | PA      | $30306.17      | 0.00%             | 2047-08-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-79, Class SB                                                                                    | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131058 | PA      | $155374.34     | 0.00%             | 2037-08-25      | Floating      | 8.67%                 | 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        |     136495 | PA      | $138467.20     | 0.00%             | 2037-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-98, Class FB                                                                                    | CUSIP: 31396XJ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65952 | PA      | $65168.94      | 0.00%             | 2037-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-77, Class FG                                                                                    | CUSIP: 31396XJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167762 | PA      | $167078.75     | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YS                                                                                    | CUSIP: 31396XMZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113055 | PA      | $9248.34       | 0.00%             | 2037-06-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YA                                                                                    | CUSIP: 31396XNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67836 | PA      | $72009.74      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-85, Class SL                                                                                    | CUSIP: 31396XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27961 | PA      | $30915.09      | 0.00%             | 2037-09-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-108, Class SA                                                                                   | CUSIP: 31396XR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23159 | PA      | $1752.62       | 0.00%             | 2037-12-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-88, Class VI                                                                                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564322 | PA      | $47775.13      | 0.00%             | 2037-09-25      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-100, Class SM                                                                                   | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416320 | PA      | $42280.25      | 0.00%             | 2037-10-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-109, Class AI                                                                                   | CUSIP: 31396XY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     508967 | PA      | $46160.97      | 0.00%             | 2037-12-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-91, Class ES                                                                                    | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     623749 | PA      | $69508.13      | 0.00%             | 2037-10-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-27, Class SN                                                                                    | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218214 | PA      | $23464.51      | 0.00%             | 2038-04-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-32, Class SA                                                                                    | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102957 | PA      | $9136.11       | 0.00%             | 2038-04-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-1, Class BI                                                                                     | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476374 | PA      | $39874.00      | 0.00%             | 2038-02-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-4, Class SD                                                                                     | CUSIP: 31396YEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1338803 | PA      | $132396.25     | 0.00%             | 2038-02-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-10, Class XI                                                                                    | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201059 | PA      | $18624.18      | 0.00%             | 2038-03-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-16, Class IS                                                                                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170567 | PA      | $13874.58      | 0.00%             | 2038-03-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-20, Class SA                                                                                    | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186990 | PA      | $20229.29      | 0.00%             | 2038-03-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class FA                                                                                    | CUSIP: 31396YWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104570 | PA      | $105545.68     | 0.00%             | 2038-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class SP                                                                                    | CUSIP: 31396YXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85094 | PA      | $84914.14      | 0.00%             | 2038-03-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-28, Class QS                                                                                    | CUSIP: 31396YY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74214 | PA      | $86884.42      | 0.00%             | 2038-04-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3202, Class HI                                                                                      | CUSIP: 31397ABD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1331004 | PA      | $130627.43     | 0.00%             | 2036-08-15      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200, Class AY                                                                                      | CUSIP: 31397AGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     441826 | PA      | $460308.94     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200                                                                                                | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107289 | PA      | $92813.48      | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3213, Class OA                                                                                      | CUSIP: 31397B2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63115 | PA      | $56643.33      | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3219, Class DI                                                                                      | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172047 | PA      | $28038.56      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3218, Class AO                                                                                      | CUSIP: 31397BHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47523 | PA      | $39208.04      | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3232, Class ST                                                                                      | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214170 | PA      | $17083.18      | 0.00%             | 2036-10-15      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3225, Class EO                                                                                      | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113904 | PA      | $96107.04      | 0.00%             | 2036-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3233, Class OP                                                                                      | CUSIP: 31397BYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25379 | PA      | $21449.95      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3256                                                                                                | CUSIP: 31397EBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62061 | PA      | $53003.01      | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3260, Class CS                                                                                      | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109407 | PA      | $10468.31      | 0.00%             | 2037-01-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3261, Class OA                                                                                      | CUSIP: 31397EPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66551 | PA      | $57025.90      | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class B                                                                                       | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167187 | PA      | $177278.38     | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class JO                                                                                      | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20541 | PA      | $18069.40      | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3275, Class FL                                                                                      | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93656 | PA      | $93037.34      | 0.00%             | 2037-02-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3290, Class SB                                                                                      | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208665 | PA      | $18276.07      | 0.00%             | 2037-03-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3286                                                                                                | CUSIP: 31397G4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6235 | PA      | $5497.01       | 0.00%             | 2037-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3302, Class UT                                                                                      | CUSIP: 31397GB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165513 | PA      | $175756.02     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3305, Class MG                                                                                      | CUSIP: 31397GU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110204 | PA      | $112362.65     | 0.00%             | 2034-07-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3315, Class HZ                                                                                      | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131380 | PA      | $139503.23     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3318, Class AO                                                                                      | CUSIP: 31397HCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2295 | PA      | $2093.86       | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3316                                                                                                | CUSIP: 31397HKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115513 | PA      | $98630.18      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3331                                                                                                | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64410 | PA      | $56298.86      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3326, Class JO                                                                                      | CUSIP: 31397JJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12387 | PA      | $11117.09      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3344, Class SL                                                                                      | CUSIP: 31397JYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127310 | PA      | $11540.09      | 0.00%             | 2037-07-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3365                                                                                                | CUSIP: 31397KNK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93584 | PA      | $80045.51      | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3371, Class FA                                                                                      | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50094 | PA      | $50059.81      | 0.00%             | 2037-09-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3373, Class TO                                                                                      | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66284 | PA      | $57879.84      | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  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        |    4695633 | PA      | $4328440.17    | 0.01%             | 2037-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-55, Class S                                                                                     | CUSIP: 31397L4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151431 | PA      | $4285.70       | 0.00%             | 2028-07-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-53, Class CI                                                                                    | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101685 | PA      | $10358.92      | 0.00%             | 2038-07-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-60, Class JC                                                                                    | CUSIP: 31397LJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140996 | PA      | $145004.69     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-44                                                                                              | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7682 | PA      | $6904.50       | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-42, Class AO                                                                                    | CUSIP: 31397LPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43082 | PA      | $37522.01      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-46, Class HI                                                                                    | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193359 | PA      | $11782.97      | 0.00%             | 2038-06-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-6, Class GS                                                                                     | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287161 | PA      | $23990.22      | 0.00%             | 2039-02-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-56, Class AC                                                                                    | CUSIP: 31397MAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107923 | PA      | $108635.54     | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-80, Class SA                                                                                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457395 | PA      | $38756.46      | 0.00%             | 2038-09-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-81, Class SB                                                                                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472200 | PA      | $37236.67      | 0.00%             | 2038-09-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-4, Class BD                                                                                     | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3975 | PA      | $3684.91       | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-17, Class QS                                                                                    | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101777 | PA      | $9436.80       | 0.00%             | 2039-03-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-19, Class PW                                                                                    | CUSIP: 31397NUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441302 | PA      | $446142.09     | 0.00%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3383, Class SA                                                                                      | CUSIP: 31397P4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     429506 | PA      | $33624.32      | 0.00%             | 2037-11-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3387, Class SA                                                                                      | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     858353 | PA      | $71517.31      | 0.00%             | 2037-11-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3393, Class JO                                                                                      | CUSIP: 31397PGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249175 | PA      | $227254.08     | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3404, Class SC                                                                                      | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     917692 | PA      | $89782.84      | 0.00%             | 2038-01-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-2, Class WA                                                                                     | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193950 | PA      | $202684.56     | 0.00%             | 2051-02-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-19, Class ZY                                                                                    | CUSIP: 31397QP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639443 | PA      | $689940.15     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-147, Class SA                                                                                   | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1989674 | PA      | $239887.62     | 0.00%             | 2041-01-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3422, Class SE                                                                                      | CUSIP: 31397RDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43188 | PA      | $47368.52      | 0.00%             | 2038-02-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3423, Class PB                                                                                      | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     796747 | PA      | $832855.98     | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-31, Class DB                                                                                    | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1624974 | PA      | $1601493.91    | 0.00%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-30, Class LS                                                                                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1277917 | PA      | $94866.07      | 0.00%             | 2041-04-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-39, Class ZA                                                                                    | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     915798 | PA      | $956891.13     | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3424, Class PI                                                                                      | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     470858 | PA      | $49211.92      | 0.00%             | 2038-04-15      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3443, Class SY                                                                                      | CUSIP: 31397T7H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57043 | PA      | $63141.46      | 0.00%             | 2037-03-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3453, Class B                                                                                       | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71221 | PA      | $73435.56      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class LZ                                                                                      | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50970 | PA      | $54119.82      | 0.00%             | 2038-06-15      | 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        |     966999 | PA      | $1016329.62    | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-47, Class ZA                                                                                    | CUSIP: 31397UEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502942 | PA      | $518908.42     | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-58, Class WA                                                                                    | CUSIP: 31397UZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152681 | PA      | $151504.42     | 0.00%             | 2051-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3455, Class SE                                                                                      | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     453473 | PA      | $51914.97      | 0.00%             | 2038-06-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3481, Class SJ                                                                                      | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     559043 | PA      | $54632.50      | 0.00%             | 2038-08-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3501, Class CB                                                                                      | CUSIP: 31397YS69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     466046 | PA      | $484569.87     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3511, Class SA                                                                                      | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243854 | PA      | $20677.51      | 0.00%             | 2039-02-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3510, Class OD                                                                                      | CUSIP: 31397YZP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140381 | PA      | $123984.28     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3523, Class SD                                                                                      | CUSIP: 31398CGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71258 | PA      | $75394.78      | 0.00%             | 2036-06-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SA                                                                                      | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     357204 | PA      | $32058.21      | 0.00%             | 2039-05-15      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SM                                                                                      | CUSIP: 31398CVX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41788 | PA      | $2830.38       | 0.00%             | 2039-05-15      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3546, Class A                                                                                       | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177346 | PA      | $180612.56     | 0.00%             | 2039-02-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3549, Class FA                                                                                      | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40583 | PA      | $41438.87      | 0.00%             | 2039-07-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class SC                                                                                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171553 | PA      | $13582.13      | 0.00%             | 2039-12-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class WA                                                                                    | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535105 | PA      | $547784.89     | 0.00%             | 2039-12-25      | Variable      | 6.33%                 | 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        |     780789 | PA      | $813582.37     | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-84, Class WS                                                                                    | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136855 | PA      | $11671.76      | 0.00%             | 2039-10-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class OT                                                                                    | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1438004 | PA      | $1240887.41    | 0.00%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class IP                                                                                    | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549854 | PA      | $91847.75      | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-103, Class MB                                                                                   | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457897 | PA      | $461484.77     | 0.00%             | 2039-12-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-112, Class ST                                                                                   | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374267 | PA      | $40700.24      | 0.00%             | 2040-01-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-1, Class WA                                                                                     | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110819 | PA      | $112763.61     | 0.00%             | 2040-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-113, Class AO                                                                                   | CUSIP: 31398GWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119963 | PA      | $99932.68      | 0.00%             | 2040-01-25      | 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        |     199241 | PA      | $10752.37      | 0.00%             | 2039-12-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class AO                                                                                      | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179051 | PA      | $155458.62     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class BO                                                                                      | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328121 | PA      | $290503.24     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class OP                                                                                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     621081 | PA      | $535459.38     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607                                                                                                | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     644673 | PA      | $542123.19     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class TO                                                                                      | CUSIP: 31398LR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320178 | PA      | $273627.26     | 0.00%             | 2039-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3611                                                                                                | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275470 | PA      | $247113.83     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3621, Class BO                                                                                      | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300331 | PA      | $264228.58     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WA                                                                                    | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360629 | PA      | $369002.08     | 0.00%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WB                                                                                    | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535089 | PA      | $543530.52     | 0.00%             | 2040-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-102, Class PN                                                                                   | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     558853 | PA      | $572673.11     | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-111, Class AM                                                                                   | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2731481 | PA      | $2861368.81    | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-49, Class SC                                                                                    | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566808 | PA      | $568785.62     | 0.00%             | 2040-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SJ                                                                                    | CUSIP: 31398PGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317476 | PA      | $321318.16     | 0.00%             | 2040-04-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SB                                                                                    | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236708 | PA      | $16024.04      | 0.00%             | 2040-04-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-40, Class FJ                                                                                    | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23474 | PA      | $23472.69      | 0.00%             | 2040-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-42, Class S                                                                                     | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153171 | PA      | $13526.34      | 0.00%             | 2040-05-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-39, Class OT                                                                                    | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54707 | PA      | $48183.90      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-43, Class FD                                                                                    | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161997 | PA      | $161825.26     | 0.00%             | 2040-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-64, Class DM                                                                                    | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     761076 | PA      | $772517.97     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-63, Class AP                                                                                    | CUSIP: 31398RPH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195956 | PA      | $172429.85     | 0.00%             | 2040-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-58, Class MB                                                                                    | CUSIP: 31398RYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1809148 | PA      | $1849571.26    | 0.00%             | 2040-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-125, Class SA                                                                                   | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1072252 | PA      | $48723.02      | 0.00%             | 2040-11-25      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-71, Class HJ                                                                                    | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     751745 | PA      | $783722.86     | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-103, Class SB                                                                                   | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315711 | PA      | $29650.29      | 0.00%             | 2049-11-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3645, Class KZ                                                                                      | CUSIP: 31398VFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157695 | PA      | $164291.65     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3632, Class BS                                                                                      | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     740720 | PA      | $745596.58     | 0.00%             | 2040-02-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3654, Class DC                                                                                      | CUSIP: 31398WV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2001473 | PA      | $2032487.37    | 0.00%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181742 | PA      | $186798.82     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400CEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4087 | PA      | $4193.41       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6434 | PA      | $6582.34       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3090 | PA      | $3106.60       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5107 | PA      | $5149.77       | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2291 | PA      | $2343.49       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42844 | PA      | $44131.36      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25744 | PA      | $26070.48      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27534 | PA      | $27998.88      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38322 | PA      | $38617.08      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202946 | PA      | $208380.73     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97842 | PA      | $99355.54      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32307 | PA      | $32536.02      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16105 | PA      | $16476.22      | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227619 | PA      | $238493.76     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30264 | PA      | $30996.96      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102542 | PA      | $103719.31     | 0.00%             | 2033-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91584 | PA      | $94235.75      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116362 | PA      | $119755.54     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165740 | PA      | $172958.44     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63501 | PA      | $65328.89      | 0.00%             | 2036-01-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73177 | PA      | $75022.61      | 0.00%             | 2035-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95847 | PA      | $101755.90     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24924 | PA      | $25728.98      | 0.00%             | 2033-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27536 | PA      | $27612.52      | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23688 | PA      | $23987.46      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45181 | PA      | $45819.74      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403MXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153692 | PA      | $151462.15     | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403Q3S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7225 | PA      | $7394.61       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26578 | PA      | $27213.95      | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24452 | PA      | $24874.86      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11353 | PA      | $11546.13      | 0.00%             | 2034-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404J3N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196550 | PA      | $197188.18     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404R3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100585 | PA      | $102351.27     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404SLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92013 | PA      | $94500.21      | 0.00%             | 2034-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9205 | PA      | $9394.41       | 0.00%             | 2034-11-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2389 | PA      | $2433.12       | 0.00%             | 2034-07-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405H4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41053 | PA      | $41793.61      | 0.00%             | 2034-08-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4650 | PA      | $4745.46       | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25170 | PA      | $25723.49      | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405UVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12238 | PA      | $12434.73      | 0.00%             | 2034-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88795 | PA      | $88998.52      | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406GDY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7996 | PA      | $8177.52       | 0.00%             | 2035-01-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304415 | PA      | $311988.96     | 0.00%             | 2035-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31406H7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76617 | PA      | $76445.33      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406HTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50557 | PA      | $51989.01      | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10384 | PA      | $10619.60      | 0.00%             | 2035-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165281 | PA      | $169860.35     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406UU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44756 | PA      | $45674.51      | 0.00%             | 2035-03-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33453 | PA      | $33604.60      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21555 | PA      | $21980.00      | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407DT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29376 | PA      | $29424.06      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6749 | PA      | $6884.54       | 0.00%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6998 | PA      | $7325.29       | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223136 | PA      | $228120.96     | 0.00%             | 2036-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408G4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154454 | PA      | $159787.12     | 0.00%             | 2035-10-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8974 | PA      | $9179.97       | 0.00%             | 2036-05-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31409GMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20394 | PA      | $21580.32      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409JVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88111 | PA      | $90074.75      | 0.00%             | 2036-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31409V4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51248 | PA      | $52889.36      | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ABE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85539100 | PA      | $85432016.83   | 0.16%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140AELH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39917186 | PA      | $39865053.68   | 0.07%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1697522 | PA      | $1648330.82    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     995053 | PA      | $966424.23     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2822228 | PA      | $2812110.83    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34943125 | PA      | $32246648.68   | 0.06%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2242614 | PA      | $2063999.44    | 0.00%             | 2056-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34133768 | PA      | $35644171.67   | 0.07%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXLX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14665986 | PA      | $15061529.49   | 0.03%             | 2059-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25709250 | PA      | $21761110.17   | 0.04%             | 2059-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40144754 | PA      | $36847284.26   | 0.07%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52269549 | PA      | $46181194.29   | 0.09%             | 2061-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65285012 | PA      | $54108391.74   | 0.10%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48199566 | PA      | $43817319.49   | 0.08%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26943768 | PA      | $23371085.93   | 0.04%             | 2062-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18355772 | PA      | $16829060.80   | 0.03%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28722995 | PA      | $26111445.99   | 0.05%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14731423 | PA      | $13870204.00   | 0.03%             | 2062-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10919129 | PA      | $9212402.21    | 0.02%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18385404 | PA      | $15947652.08   | 0.03%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25679669 | PA      | $24289893.32   | 0.05%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10976592 | PA      | $11008215.93   | 0.02%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15669908 | PA      | $12987140.43   | 0.02%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74220927 | PA      | $61514102.09   | 0.12%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20100594 | PA      | $18428999.24   | 0.03%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18456942 | PA      | $17652543.61   | 0.03%             | 2062-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31193006 | PA      | $27056957.82   | 0.05%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39002084 | PA      | $35456087.85   | 0.07%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15359555 | PA      | $13962875.38   | 0.03%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39926378 | PA      | $33090556.87   | 0.06%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59877700 | PA      | $49625760.90   | 0.09%             | 2062-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40139246 | PA      | $37966823.90   | 0.07%             | 2062-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7828004 | PA      | $7145161.71    | 0.01%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28391433 | PA      | $24626623.51   | 0.05%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22352573 | PA      | $20403156.62   | 0.04%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45890341 | PA      | $43406550.58   | 0.08%             | 2063-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55868723 | PA      | $46303665.92   | 0.09%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140GWQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2890479 | PA      | $2805539.26    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H7ME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3514736 | PA      | $3387667.52    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9BS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3043043 | PA      | $2958639.93    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9DQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5979617 | PA      | $5806665.70    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3404678 | PA      | $3305141.16    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2321673 | PA      | $2253919.50    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1043665 | PA      | $1013746.98    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3621573 | PA      | $3516836.02    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HGBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17904506 | PA      | $15268110.13   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HM2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3015809 | PA      | $3107100.91    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1872688 | PA      | $1853579.08    | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2702261 | PA      | $2678142.64    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11997000 | PA      | $11938130.00   | 0.02%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42090000 | PA      | $42033447.46   | 0.08%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22456201 | PA      | $22221305.73   | 0.04%             | 2029-01-01      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HUUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6857013 | PA      | $6443811.54    | 0.01%             | 2031-08-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38730587 | PA      | $36726773.74   | 0.07%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10668522 | PA      | $9748480.19    | 0.02%             | 2031-10-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4291045 | PA      | $4047855.36    | 0.01%             | 2029-09-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HWC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27630000 | PA      | $25985188.31   | 0.05%             | 2029-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12121152 | PA      | $11009614.44   | 0.02%             | 2032-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXUA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22962000 | PA      | $19671381.68   | 0.04%             | 2035-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12423733 | PA      | $10137322.86   | 0.02%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HYAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5081000 | PA      | $4248573.88    | 0.01%             | 2035-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140J2RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8820049.50    | 0.02%             | 2030-12-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J5K32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6812330 | PA      | $6658149.00    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21445239 | PA      | $21201211.34   | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J7XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4186238 | PA      | $4070131.19    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26122848 | PA      | $25398279.92   | 0.05%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JAPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7851500 | PA      | $7191383.47    | 0.01%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58631624 | PA      | $51802096.44   | 0.10%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38073181 | PA      | $36461404.73   | 0.07%             | 2059-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27389991 | PA      | $26846665.17   | 0.05%             | 2032-11-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  105285999 | PA      | $88146733.39   | 0.17%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44603622 | PA      | $37774852.99   | 0.07%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   98638823 | PA      | $83635578.87   | 0.16%             | 2033-01-01      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26754816 | PA      | $25491180.53   | 0.05%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  102701895 | PA      | $89864565.03   | 0.17%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JGJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     872013 | PA      | $868528.01     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JHN90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1400475 | PA      | $1391290.19    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JMHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233138 | PA      | $243347.62     | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JVR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4217766 | PA      | $4071269.77    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3260343 | PA      | $3152783.18    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JY3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3747998 | PA      | $3515788.58    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140K1GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1864882 | PA      | $1743607.68    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KAL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4055613 | PA      | $3643108.00    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KC3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4587428 | PA      | $4447995.83    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KH4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     569693 | PA      | $485797.78     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KJBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776259 | PA      | $661943.59     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KLH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15748756 | PA      | $13429568.58   | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7089008 | PA      | $5811183.73    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KTQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     691810 | PA      | $589941.01     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LC5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9181969 | PA      | $7831654.62    | 0.01%             | 2033-08-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33900000 | PA      | $30250253.79   | 0.06%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36050000 | PA      | $31688099.61   | 0.06%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7883000 | PA      | $6660579.96    | 0.01%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6842000 | PA      | $5766585.87    | 0.01%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10924000 | PA      | $9121541.86    | 0.02%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LE3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8870962.40    | 0.02%             | 2032-01-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $31945784.04   | 0.06%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19688267 | PA      | $17462097.15   | 0.03%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LESN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11019243 | PA      | $9813571.61    | 0.02%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34650000 | PA      | $30727845.23   | 0.06%             | 2032-02-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26665000 | PA      | $23405770.65   | 0.04%             | 2032-01-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36743000 | PA      | $34460502.06   | 0.06%             | 2032-05-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14317000 | PA      | $13260045.90   | 0.02%             | 2032-05-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7541000 | PA      | $6715026.13    | 0.01%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60280000 | PA      | $52717863.15   | 0.10%             | 2034-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2469000 | PA      | $2269386.56    | 0.00%             | 2032-04-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45748626 | PA      | $41892695.35   | 0.08%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6186000 | PA      | $5635778.93    | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3309612 | PA      | $3217118.02    | 0.01%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11010953 | PA      | $10812261.51   | 0.02%             | 2032-08-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10250000 | PA      | $9344606.84    | 0.02%             | 2035-12-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10561000 | PA      | $9903442.78    | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14180000 | PA      | $13357446.28   | 0.03%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10964000 | PA      | $10328000.07   | 0.02%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10756000 | PA      | $10336016.71   | 0.02%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2081000 | PA      | $2050068.91    | 0.00%             | 2032-07-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5906748.12    | 0.01%             | 2032-09-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34142000 | PA      | $34953777.95   | 0.07%             | 2032-12-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10746000 | PA      | $11139518.73   | 0.02%             | 2033-01-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19145000 | PA      | $18518002.78   | 0.03%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54320000 | PA      | $52700652.90   | 0.10%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19574992.00   | 0.04%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65061306 | PA      | $63473646.18   | 0.12%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $21515924.10   | 0.04%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2206000 | PA      | $2153530.62    | 0.00%             | 2032-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHK58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14504000 | PA      | $14302985.29   | 0.03%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13781000 | PA      | $13254044.74   | 0.02%             | 2032-09-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHLB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32089000 | PA      | $31599747.04   | 0.06%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHPZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45001000 | PA      | $44869000.82   | 0.08%             | 2029-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8255000 | PA      | $8227362.34    | 0.02%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11615000 | PA      | $11565864.83   | 0.02%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7463000 | PA      | $7648460.40    | 0.01%             | 2032-11-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43000000 | PA      | $42959134.09   | 0.08%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $36599490.72   | 0.07%             | 2032-10-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19825000 | PA      | $19778165.02   | 0.04%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33325000 | PA      | $34028231.81   | 0.06%             | 2032-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJ5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14699000 | PA      | $15055740.03   | 0.03%             | 2033-04-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14287000 | PA      | $14801837.47   | 0.03%             | 2032-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $7269388.42    | 0.01%             | 2032-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10670653 | PA      | $11308307.01   | 0.02%             | 2032-12-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10437195 | PA      | $10747669.42   | 0.02%             | 2030-03-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12053600 | PA      | $12105194.11   | 0.02%             | 2033-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15134000 | PA      | $15262168.64   | 0.03%             | 2033-01-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9381000 | PA      | $9498091.20    | 0.02%             | 2033-01-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8761056.59    | 0.02%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8177000 | PA      | $8427915.42    | 0.02%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4758000 | PA      | $4905653.06    | 0.01%             | 2030-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8725000 | PA      | $8650260.17    | 0.02%             | 2033-03-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38197907 | PA      | $38039990.45   | 0.07%             | 2033-04-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $58664487.60   | 0.11%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LJYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9144420 | PA      | $9429784.37    | 0.02%             | 2031-01-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LK2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35052000 | PA      | $35465207.35   | 0.07%             | 2033-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LK6E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15496000 | PA      | $15864303.19   | 0.03%             | 2032-10-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKAL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44672000 | PA      | $44494152.28   | 0.08%             | 2033-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13528000 | PA      | $13456305.93   | 0.03%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10254000 | PA      | $10400369.08   | 0.02%             | 2028-05-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKD59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6368000 | PA      | $6458095.93    | 0.01%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17965721 | PA      | $17939686.13   | 0.03%             | 2033-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3961392.16    | 0.01%             | 2033-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8651000 | PA      | $8732931.63    | 0.02%             | 2033-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7514000 | PA      | $7681219.11    | 0.01%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5246000 | PA      | $5362746.27    | 0.01%             | 2028-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9425000 | PA      | $9700349.58    | 0.02%             | 2031-01-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9263000 | PA      | $9483858.45    | 0.02%             | 2029-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKJX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1184000 | PA      | $1218780.72    | 0.00%             | 2031-02-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKMK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22856000 | PA      | $23081191.71   | 0.04%             | 2030-06-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32295000 | PA      | $32463175.89   | 0.06%             | 2033-05-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKQZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6239000 | PA      | $6308780.10    | 0.01%             | 2033-06-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6148900 | PA      | $6245808.75    | 0.01%             | 2033-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4615000 | PA      | $4673252.88    | 0.01%             | 2033-05-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22337941 | PA      | $22404945.44   | 0.04%             | 2033-06-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4663000 | PA      | $4693882.02    | 0.01%             | 2033-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5025000 | PA      | $5042647.20    | 0.01%             | 2033-06-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9237829 | PA      | $9329899.19    | 0.02%             | 2030-10-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18345000 | PA      | $18177117.75   | 0.03%             | 2033-06-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LKZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34350000 | PA      | $34388791.46   | 0.06%             | 2030-07-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31800000 | PA      | $32312005.12   | 0.06%             | 2033-07-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26043000 | PA      | $26385018.55   | 0.05%             | 2033-10-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29035000 | PA      | $29540672.40   | 0.06%             | 2033-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLQY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17758000 | PA      | $17983634.04   | 0.03%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLQZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16368000 | PA      | $16575972.63   | 0.03%             | 2033-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLTP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7554000 | PA      | $7924049.01    | 0.01%             | 2031-02-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4533894.42    | 0.01%             | 2032-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LLVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5152629 | PA      | $5332204.79    | 0.01%             | 2031-08-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39858948 | PA      | $34109031.91   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M9MK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17800597 | PA      | $15363477.69   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MA4J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21403282 | PA      | $19835637.55   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MDRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9134135 | PA      | $8184194.30    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MEB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11015484 | PA      | $11024684.48   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MGV99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8001336 | PA      | $6915260.64    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44229990 | PA      | $37705354.18   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MJ5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49270912 | PA      | $42144849.40   | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1353297 | PA      | $1337393.73    | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     646770 | PA      | $634992.20     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1109376 | PA      | $1096339.44    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3265906 | PA      | $3222594.96    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     992225 | PA      | $980030.76     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     826081 | PA      | $815928.26     | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MNJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15236766 | PA      | $14570217.38   | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40614295 | PA      | $40723592.56   | 0.08%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N83D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7885697 | PA      | $8070972.27    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  128688354 | PA      | $128828450.27  | 0.24%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16591332 | PA      | $16965151.45   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11856499 | PA      | $12025326.36   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   87371096 | PA      | $87234216.39   | 0.16%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NP3K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6198556 | PA      | $6338216.19    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NP4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9087936 | PA      | $9404615.85    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $20890275.42   | 0.04%             | 2034-01-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38469000 | PA      | $38805943.43   | 0.07%             | 2031-02-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19031000 | PA      | $19197689.29   | 0.04%             | 2031-02-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $40102289.20   | 0.08%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NVNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15307000 | PA      | $15814736.71   | 0.03%             | 2030-08-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140NWN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47210000 | PA      | $46655032.76   | 0.09%             | 2031-11-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QALK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3992715 | PA      | $3832931.80    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1185614 | PA      | $1205822.77    | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QCU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6055210 | PA      | $5601023.87    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39959521 | PA      | $34642554.46   | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4455698 | PA      | $3995364.73    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39895878 | PA      | $34021063.30   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41403652 | PA      | $36027515.55   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26289536 | PA      | $22925998.44   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56966519 | PA      | $49542434.07   | 0.09%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16019457 | PA      | $14234772.17   | 0.03%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28307542 | PA      | $24290463.25   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22775431 | PA      | $19683442.31   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59189910 | PA      | $53034814.73   | 0.10%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41902394 | PA      | $36007261.41   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QLR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45160853 | PA      | $40464787.28   | 0.08%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55597123 | PA      | $47935723.57   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5718762 | PA      | $5128308.70    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3466601 | PA      | $3108724.96    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8080474 | PA      | $7240235.75    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35589590 | PA      | $31040987.00   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6682593 | PA      | $5992683.84    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14599785 | PA      | $12582817.59   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11064895 | PA      | $9469261.35    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7692385 | PA      | $6847280.49    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26235223 | PA      | $23506718.63   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21186791 | PA      | $20303249.03   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37159727 | PA      | $35621717.13   | 0.07%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31046392 | PA      | $29723979.19   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15560656 | PA      | $15305647.66   | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72965379 | PA      | $73379902.51   | 0.14%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13147224 | PA      | $13563315.15   | 0.03%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17657837 | PA      | $17398374.82   | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRAN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6082610 | PA      | $5820169.48    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37987737 | PA      | $36399639.51   | 0.07%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20971432 | PA      | $21011662.17   | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16341264 | PA      | $16430659.60   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QSAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13947134 | PA      | $13986830.25   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W13S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47769110 | PA      | $42967170.71   | 0.08%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W1QH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35046037 | PA      | $33580911.70   | 0.06%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W2G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17713748 | PA      | $15260193.74   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9471494 | PA      | $9394246.66    | 0.02%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 3140X6XQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429290 | PA      | $426160.12     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7CH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4478000 | PA      | $4558464.82    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7QD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17402628 | PA      | $14994420.72   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10811234 | PA      | $9721684.91    | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XBYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18103119 | PA      | $15610622.42   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCCJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19609515 | PA      | $17582703.36   | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41152088 | PA      | $35530730.97   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XD6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9169268 | PA      | $7876397.77    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45460636 | PA      | $39191720.70   | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XDSM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12306025 | PA      | $10809453.92   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40820023 | PA      | $35399231.42   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61627944 | PA      | $52461340.33   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XG2B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23388229 | PA      | $22750449.78   | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30791999 | PA      | $27389348.06   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XH5F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16183777 | PA      | $14523773.62   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33425939 | PA      | $30425006.47   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25830811 | PA      | $23144626.57   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJ7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77044133 | PA      | $66205778.01   | 0.12%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9839948 | PA      | $8556413.19    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23355619 | PA      | $23484699.30   | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XK3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12310053 | PA      | $10972670.50   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5909926 | PA      | $5128064.69    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2550018 | PA      | $2523968.54    | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15417791 | PA      | $14790831.55   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4237256 | PA      | $4063845.66    | 0.01%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45565020 | PA      | $39051401.40   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XL6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70801776 | PA      | $61435169.00   | 0.12%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5897663 | PA      | $5083190.65    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8316438 | PA      | $7457892.58    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13763851 | PA      | $13198425.55   | 0.02%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42378925 | PA      | $36297627.88   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25337339 | PA      | $22575130.06   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XNAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16429232 | PA      | $14732954.24   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XPRT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31719563 | PA      | $27322704.20   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XQJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19463374 | PA      | $18063738.42   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XQZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18220719 | PA      | $16339399.07   | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XRBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19731617 | PA      | $17547067.55   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140Y66N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20142186 | PA      | $20809105.65   | 0.04%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16967 | PA      | $17325.79      | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410BFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35858 | PA      | $36816.91      | 0.00%             | 2036-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174788 | PA      | $179068.87     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410EFM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138875 | PA      | $142362.21     | 0.00%             | 2036-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410F3Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50021 | PA      | $51134.55      | 0.00%             | 2037-04-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25540 | PA      | $26382.07      | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216080 | PA      | $225485.83     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410FXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63354 | PA      | $64828.37      | 0.00%             | 2037-01-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144339 | PA      | $150623.09     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171413 | PA      | $174918.06     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19844 | PA      | $20337.10      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405519 | PA      | $420143.75     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54169 | PA      | $56446.57      | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70344 | PA      | $71441.00      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371903 | PA      | $394268.38     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172492 | PA      | $183005.50     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121010 | PA      | $130766.76     | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494384 | PA      | $511372.55     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31410LAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48787 | PA      | $49912.67      | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211518 | PA      | $224407.97     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72786 | PA      | $74298.65      | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39247 | PA      | $40200.22      | 0.00%             | 2036-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36447 | PA      | $37206.24      | 0.00%             | 2036-10-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91674 | PA      | $94505.08      | 0.00%             | 2036-09-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55706 | PA      | $57609.48      | 0.00%             | 2034-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46064 | PA      | $47562.97      | 0.00%             | 2036-10-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296749 | PA      | $309596.40     | 0.00%             | 2036-10-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1187 | PA      | $1218.47       | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88972 | PA      | $90669.36      | 0.00%             | 2036-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237942 | PA      | $252093.75     | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106468 | PA      | $107997.70     | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58021 | PA      | $59242.38      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25850 | PA      | $26075.95      | 0.00%             | 2036-02-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100832 | PA      | $102804.89     | 0.00%             | 2036-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542713 | PA      | $562087.14     | 0.00%             | 2036-03-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114660 | PA      | $117170.57     | 0.00%             | 2037-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31412CEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165242 | PA      | $169683.29     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82778 | PA      | $87825.71      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155078 | PA      | $162325.01     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67660 | PA      | $70484.19      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188939 | PA      | $199968.76     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62325 | PA      | $63959.03      | 0.00%             | 2037-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248483 | PA      | $256770.10     | 0.00%             | 2037-08-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138667 | PA      | $146002.70     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29987 | PA      | $30842.89      | 0.00%             | 2037-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HZ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18382 | PA      | $18820.69      | 0.00%             | 2037-09-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92496 | PA      | $93431.80      | 0.00%             | 2037-07-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43610 | PA      | $44871.37      | 0.00%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331821 | PA      | $343223.03     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415RBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245718 | PA      | $258356.20     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415W3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194646 | PA      | $208096.94     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114444 | PA      | $120836.70     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9462 | PA      | $9875.30       | 0.00%             | 2038-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61491 | PA      | $63828.56      | 0.00%             | 2035-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61375 | PA      | $63008.88      | 0.00%             | 2037-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     836043 | PA      | $887827.58     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95653 | PA      | $99396.62      | 0.00%             | 2035-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161777 | PA      | $169337.12     | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31416CFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66416 | PA      | $69481.17      | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143590 | PA      | $147060.60     | 0.00%             | 2037-07-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454163 | PA      | $465769.90     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     793096 | PA      | $827736.64     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107319 | PA      | $112988.48     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416YFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206174 | PA      | $216746.52     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417G5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5961543 | PA      | $5534590.32    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6736389 | PA      | $6254035.81    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482774 | PA      | $472527.33     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1207451 | PA      | $1153264.37    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028928 | PA      | $998223.32     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31989 | PA      | $31768.84      | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417MH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338215 | PA      | $348451.14     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417NEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142861 | PA      | $148184.96     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417UDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206893 | PA      | $214603.68     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417YD95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97975 | PA      | $99234.44      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6799353 | PA      | $6826089.84    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2193208 | PA      | $2143952.19    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2022306 | PA      | $2030260.03    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     953128 | PA      | $934082.73     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1639663 | PA      | $1620744.83    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5439312 | PA      | $5330634.88    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2475833 | PA      | $2364750.90    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6304311 | PA      | $6021449.24    | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4499939 | PA      | $4404461.76    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     912578 | PA      | $871627.79     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1535303 | PA      | $1466411.75    | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4458904 | PA      | $4258818.70    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4905667 | PA      | $4685520.62    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6136259 | PA      | $5830529.80    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5284520 | PA      | $5305300.47    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1369133 | PA      | $1338376.50    | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1562251 | PA      | $1515556.15    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2283922 | PA      | $2215656.28    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78395181 | PA      | $67244475.01   | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5738163 | PA      | $5136076.29    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50781465 | PA      | $43489902.05   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485822 | PA      | $525172.89     | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134377 | PA      | $135131.42     | 0.00%             | 2037-11-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60237 | PA      | $62275.36      | 0.00%             | 2037-12-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418MSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164589 | PA      | $167354.28     | 0.00%             | 2048-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     688984 | PA      | $735776.56     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418VUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1830915 | PA      | $1886347.77    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418XEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     626117 | PA      | $646812.95     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31419ABT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31947 | PA      | $32684.09      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31427MKF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2023943 | PA      | $1815220.85    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31427ND63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28964476 | PA      | $26072801.17   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GTGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15587557 | PA      | $15931640.89   | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GTGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59088958 | PA      | $60091983.34   | 0.11%             | 2054-11-01      | Fixed         | 5.50%                 | 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      | $50911389.55   | 0.10%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  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        |   11804860 | PA      | $11871042.70   | 0.02%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2022-2A, Class A                                                                                       | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3042791 | PA      | $3046859.92    | 0.01%             | 2027-12-15      | Fixed         | 6.14%                 | Yes           |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                   | Fifth Third Bancorp                                                                                                      | CUSIP: 316773DL1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    8401000 | PA      | $8836929.15    | 0.02%             | 2032-01-29      | Variable      | 5.63%                 | 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        |     408431 | PA      | $181643.93     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |    4450544 | PA      | $418228.75     | 0.00%             | 2037-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    8353000 | PA      | $8171053.62    | 0.02%             | 2044-07-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     830000 | PA      | $720096.85     | 0.00%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  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      | $49106365.00   | 0.09%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  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      | $14111609.76   | 0.03%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  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      | $15194172.60   | 0.03%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  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      | $7094680.83    | 0.01%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  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      | $6891022.60    | 0.01%             | 2038-07-17      | Fixed         | 3.50%                 | Yes           |                  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      | $36162755.93   | 0.07%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    6035000 | PA      | $5997424.58    | 0.01%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    5835000 | PA      | $4649095.71    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   18135000 | PA      | $18195110.27   | 0.03%             | 2035-08-11      | Fixed         | 5.25%                 | 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      | $14140469.55   | 0.03%             | 2030-05-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Co.                                             | Florida Power & Light Co.                                                                                                | CUSIP: 341081GL5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    5440000 | PA      | $5662251.15    | 0.01%             | 2033-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                             | Florida Power & Light Co.                                                                                                | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    9410000 | PA      | $9227660.92    | 0.02%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                                 | Ford Foundation (The), Series 2020                                                                                       | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2341121.20    | 0.00%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                          | Fortis, Inc.                                                                                                             | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    8472000 | PA      | $8394444.94    | 0.02%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fortiva Retail Credit Master Note Business Trust                      | Fortiva Retail Credit Master Note Business Trust, Series 2025-TWO, Class A                                               | CUSIP: 34962ABD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   49535000 | PA      | $49523790.23   | 0.09%             | 2031-05-15      | Fixed         | 5.92%                 | Yes           |                  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        |   23323282 | PA      | $24361914.33   | 0.05%             | 2049-06-15      | Fixed         | 6.53%                 | 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      | $3096682.13    | 0.01%             | 2050-11-01      | Fixed         | 2.88%                 | 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        |   82699720 | PA      | $72721676.12   | 0.14%             | 2061-11-25      | Fixed         | 3.25%                 | 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        |   24374660 | PA      | $22351841.15   | 0.04%             | 2057-06-25      | Fixed         | 3.50%                 | 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        |    7776002 | PA      | $7271239.04    | 0.01%             | 2057-06-25      | 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        |   12628361 | PA      | $11587525.23   | 0.02%             | 2057-06-25      | Variable      | 3.25%                 | 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        |   23569037 | PA      | $23033651.99   | 0.04%             | 2058-03-25      | Fixed         | 3.50%                 | 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        |   15370690 | PA      | $11930926.61   | 0.02%             | 2058-03-25      | Fixed         | 3.50%                 | 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        |   32964640 | PA      | $29775436.09   | 0.06%             | 2058-07-25      | Fixed         | 3.50%                 | 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        |   17574155 | PA      | $16902110.75   | 0.03%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | 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        |   52841627 | PA      | $44989133.63   | 0.08%             | 2062-10-25      | 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        |   11936115 | PA      | $11604767.35   | 0.02%             | 2058-08-26      | Fixed         | 3.50%                 | 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        |   26441938 | PA      | $22614002.05   | 0.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  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        |   30208149 | PA      | $28458378.33   | 0.05%             | 2059-02-25      | Fixed         | 3.00%                 | 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        |   27654542 | PA      | $25233511.05   | 0.05%             | 2059-08-25      | Fixed         | 3.00%                 | 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        |   20429044 | PA      | $14544522.96   | 0.03%             | 2059-11-25      | Fixed         | 2.00%                 | 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        |   41389492 | PA      | $33393704.34   | 0.06%             | 2060-05-25      | Fixed         | 2.00%                 | 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        |   37725758 | PA      | $31496594.07   | 0.06%             | 2060-05-25      | Fixed         | 2.50%                 | 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        |   81886611 | PA      | $72482178.98   | 0.14%             | 2064-05-25      | Fixed         | 3.50%                 | 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        |   66942787 | PA      | $58693621.25   | 0.11%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC MSCR Trust, Series 2023-MN7, Class M1                                                                              | CUSIP: 35563QAA5<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   19133324 | PA      | $19477272.20   | 0.04%             | 2043-09-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                                            | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72524041 | PA      | $62647985.38   | 0.12%             | 2065-06-25      | Fixed         | 3.25%                 | 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        |    6293119 | PA      | $6160772.54    | 0.01%             | 2028-06-25      | Fixed         | 3.50%                 | 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        |      29644 | PA      | $26628.78      | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  203483062 | PA      | $176670778.90  | 0.33%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29928380 | PA      | $25984734.15   | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36384645 | PA      | $32856331.32   | 0.06%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51192042 | PA      | $44446306.26   | 0.08%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  175155169 | PA      | $158081988.67  | 0.30%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  128138931 | PA      | $122707306.10  | 0.23%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XLC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35042354 | PA      | $30474240.75   | 0.06%             | 2052-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30399129 | PA      | $27473752.83   | 0.05%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  105642407 | PA      | $95695278.52   | 0.18%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42080293 | PA      | $38291839.54   | 0.07%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YFF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17364125 | PA      | $15693433.19   | 0.03%             | 2053-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YUZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15274462 | PA      | $13807985.96   | 0.03%             | 2054-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ALMQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1364906 | PA      | $1332135.75    | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1025960 | PA      | $977611.19     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4472015 | PA      | $4382339.19    | 0.01%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1578289 | PA      | $1562288.51    | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3094232 | PA      | $3044103.75    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4522795 | PA      | $4453039.54    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BYW64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4759610 | PA      | $4690582.72    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617F7PT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27320495 | PA      | $28761380.18   | 0.05%             | 2072-06-20      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617FBML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28939329 | PA      | $30648231.52   | 0.06%             | 2072-07-20      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617FDC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6946866 | PA      | $7052348.94    | 0.01%             | 2052-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FL5S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15818902 | PA      | $15690990.25   | 0.03%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617G82F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124150 | PA      | $129280.11     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GJCQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     792316 | PA      | $812282.96     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GRB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5258232 | PA      | $5408085.85    | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617H9YZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6355973 | PA      | $6508259.06    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     770034 | PA      | $778121.88     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     577970 | PA      | $579816.28     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HABH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     593830 | PA      | $586877.37     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7912066 | PA      | $8056441.33    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11288711 | PA      | $11556485.13   | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617HGTZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1847448 | PA      | $1882088.39    | 0.00%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HNPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3947727 | PA      | $4092004.84    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     487582 | PA      | $491883.29     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     940740 | PA      | $962949.74     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HXVP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1445723 | PA      | $1460908.00    | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HYCH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1138539 | PA      | $1167231.00    | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1223598 | PA      | $1240443.14    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4427427 | PA      | $4481531.21    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4813794 | PA      | $4891684.53    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2110774 | PA      | $2067781.16    | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     696280 | PA      | $708862.65     | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J8AJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3291633 | PA      | $3354010.14    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J92K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2044634 | PA      | $1993145.21    | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295076 | PA      | $302567.09     | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     631600 | PA      | $647517.57     | 0.00%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JL5B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4521455 | PA      | $4608666.80    | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617JMJW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37132637 | PA      | $39025034.91   | 0.07%             | 2072-04-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JNLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2539201 | PA      | $2613934.03    | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617JR4K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1449951 | PA      | $1476809.92    | 0.00%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     342852 | PA      | $344917.30     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     296243 | PA      | $299354.62     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1WZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5105902 | PA      | $5085907.30    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1XL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11256889 | PA      | $11480604.25   | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2688891 | PA      | $2573771.88    | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1YJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1695663 | PA      | $1665315.30    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K54N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8985233 | PA      | $8744903.54    | 0.02%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K55J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2284053 | PA      | $2111864.66    | 0.00%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K7L73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1682904 | PA      | $1725315.32    | 0.00%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231996 | PA      | $234432.91     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     759941 | PA      | $773606.66     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597090 | PA      | $603362.08     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     310417 | PA      | $312875.00     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     413310 | PA      | $415939.57     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     725647 | PA      | $733269.27     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     344688 | PA      | $346823.80     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38438087 | PA      | $40279903.69   | 0.08%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     369933 | PA      | $373635.53     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4030690 | PA      | $4157099.56    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     618779 | PA      | $622879.92     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     409820 | PA      | $412546.46     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9497549 | PA      | $9721803.95    | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12688911 | PA      | $12747844.22   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LE6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3682933 | PA      | $3323988.39    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LMSM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11790469 | PA      | $11615854.38   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNGD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1673860 | PA      | $1672580.49    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9885835 | PA      | $9214151.86    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4724323 | PA      | $4368310.02    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4298948 | PA      | $3995944.40    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     531775 | PA      | $529653.20     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     618951 | PA      | $619141.85     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LXWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3717034 | PA      | $3549584.41    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1752837 | PA      | $1730140.23    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3827752 | PA      | $3805029.23    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2098887 | PA      | $2076937.85    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2666234 | PA      | $2672171.57    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     736740 | PA      | $727200.33     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     669226 | PA      | $664252.20     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     984575 | PA      | $998105.37     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1B26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1891732 | PA      | $1884807.44    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1325745 | PA      | $1336286.85    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     921390 | PA      | $909458.91     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1854395 | PA      | $1854968.00    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     214067 | PA      | $210847.20     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     600108 | PA      | $589899.67     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     831981 | PA      | $817554.96     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1138106 | PA      | $1131427.05    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     666638 | PA      | $669468.79     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2KD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8333898 | PA      | $7905207.98    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1656641 | PA      | $1643216.08    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1267735 | PA      | $1268125.93    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1656427 | PA      | $1669593.42    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MKJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2632504 | PA      | $2686711.13    | 0.01%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     768304 | PA      | $733291.17     | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4726164 | PA      | $4506408.07    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6824782 | PA      | $6503226.19    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6633738 | PA      | $6378546.26    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8205430 | PA      | $7920182.82    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6223493 | PA      | $6019637.45    | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617NYZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16831234 | PA      | $15437980.82   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12125076 | PA      | $12685736.02   | 0.02%             | 2071-08-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16737768 | PA      | $17493988.67   | 0.03%             | 2071-08-20      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38335866 | PA      | $40133515.54   | 0.08%             | 2071-09-20      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30866445 | PA      | $32385170.01   | 0.06%             | 2071-09-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33185557 | PA      | $34792537.46   | 0.07%             | 2071-09-20      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUER4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36259192 | PA      | $37942764.67   | 0.07%             | 2071-10-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18234841 | PA      | $19087417.87   | 0.04%             | 2071-10-20      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36540567 | PA      | $38258411.77   | 0.07%             | 2071-11-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VYMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7986929 | PA      | $8277390.33    | 0.02%             | 2071-09-20      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617X2A80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19228100 | PA      | $17637063.49   | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22835237 | PA      | $20945717.11   | 0.04%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6931921 | PA      | $6393133.04    | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVX57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14097592 | PA      | $13426071.46   | 0.03%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31291448 | PA      | $32763050.09   | 0.06%             | 2072-02-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42927853 | PA      | $44973390.61   | 0.08%             | 2072-03-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42122443 | PA      | $44089687.83   | 0.08%             | 2072-03-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43923466 | PA      | $46008359.68   | 0.09%             | 2072-03-20      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   87228728 | PA      | $91280947.32   | 0.17%             | 2072-02-20      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22882814 | PA      | $23960860.24   | 0.04%             | 2072-03-20      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27576990 | PA      | $28828946.55   | 0.05%             | 2072-03-20      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43624073 | PA      | $45665683.68   | 0.09%             | 2072-04-20      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23928367 | PA      | $22403951.50   | 0.04%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10372755 | PA      | $9711896.22    | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5353540 | PA      | $5077842.03    | 0.01%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y9ZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17500812 | PA      | $16385798.61   | 0.03%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGA62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19791779 | PA      | $20654574.39   | 0.04%             | 2072-03-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGC45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22717178 | PA      | $23997413.12   | 0.05%             | 2072-07-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29714341 | PA      | $31106829.16   | 0.06%             | 2072-02-20      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19906367 | PA      | $20978365.03   | 0.04%             | 2072-02-20      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30105827 | PA      | $31494118.21   | 0.06%             | 2072-03-20      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YLKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12719881 | PA      | $11909439.47   | 0.02%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7355810 | PA      | $6638774.51    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YWBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18018653 | PA      | $18860964.23   | 0.04%             | 2072-03-20      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YXD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34869002 | PA      | $36529404.16   | 0.07%             | 2072-05-20      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     402614 | PA      | $383870.46     | 0.00%             | 2038-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     825121 | PA      | $778090.37     | 0.00%             | 2039-01-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36183SXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1083585 | PA      | $1018214.09    | 0.00%             | 2045-07-20      | Fixed         | 3.75%                 | 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        |     152724 | PA      | $149734.05     | 0.00%             | 2035-06-19      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618AW2Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35492856 | PA      | $36082594.55   | 0.07%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618AWYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29563156 | PA      | $30054365.18   | 0.06%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3618BHKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9834362 | PA      | $10156395.92   | 0.02%             | 2053-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3618LEU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28244518 | PA      | $29441710.89   | 0.06%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36196RVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2985177 | PA      | $2885293.96    | 0.01%             | 2048-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200MGS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33470 | PA      | $34359.04      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139248 | PA      | $144096.97     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200WN31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11973 | PA      | $12426.49      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11046 | PA      | $11446.06      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4571 | PA      | $4668.98       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        269 | PA      | $269.27        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        201 | PA      | $201.74        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        305 | PA      | $306.03        | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        142 | PA      | $142.59        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1892 | PA      | $1920.78       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1543 | PA      | $1563.77       | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1602 | PA      | $1624.67       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4384 | PA      | $4465.27       | 0.00%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        905 | PA      | $912.18        | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119220 | PA      | $123018.09     | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49602 | PA      | $52521.88      | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1244342 | PA      | $1336100.26    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36202EXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10134 | PA      | $10255.06      | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41043 | PA      | $42394.04      | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29334 | PA      | $30263.25      | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36206HPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1912 | PA      | $1929.35       | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36209DEH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15645 | PA      | $15991.64      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3635 | PA      | $3700.38       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1110 | PA      | $1123.87       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36213GR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12572 | PA      | $12897.06      | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225B2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29993 | PA      | $30822.04      | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144568 | PA      | $151216.11     | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49197 | PA      | $51868.12      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | 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        |     147121 | PA      | $149994.98     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | 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        |     130214 | PA      | $136456.34     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | 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        |      22888 | PA      | $23005.70      | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3236547 | PA      | $3092416.02    | 0.01%             | 2044-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A3DB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8616090 | PA      | $8817542.81    | 0.02%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1191580 | PA      | $1173550.66    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10362856 | PA      | $10371598.78   | 0.02%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17156364 | PA      | $16785729.48   | 0.03%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAJY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11941398 | PA      | $11530869.85   | 0.02%             | 2069-11-20      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAS21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16167685 | PA      | $14741294.37   | 0.03%             | 2070-08-20      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAUG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31764869 | PA      | $28986402.06   | 0.05%             | 2070-10-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45699142 | PA      | $41353831.22   | 0.08%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AB5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33416815 | PA      | $29725593.10   | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11921086 | PA      | $10866718.13   | 0.02%             | 2071-12-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3622ABZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38872304 | PA      | $41127289.75   | 0.08%             | 2072-06-20      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AC3N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   70650349 | PA      | $65178099.95   | 0.12%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ACE55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39044306 | PA      | $38576047.58   | 0.07%             | 2073-01-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   79513129 | PA      | $74580938.46   | 0.14%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ACVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28454254 | PA      | $26308537.38   | 0.05%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ADE61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21781414 | PA      | $21074216.66   | 0.04%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36173495 | PA      | $36912766.32   | 0.07%             | 2064-07-20      | Fixed         | 6.00%                 | 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        |      17517 | PA      | $154055.30     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | 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        |    1394459 | PA      | $572550.47     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |    2853274 | PA      | $2455749.71    | 0.00%             | 2035-09-25      | Floating      | 4.42%                 | Yes           |                  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        |    2103229 | PA      | $46727.65      | 0.00%             | 2035-09-25      | Variable      | 0.10%                 | Yes           |                  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        |     310960 | PA      | $312578.38     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | 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        |      18015 | PA      | $16437.01      | 0.00%             | 2035-09-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241K3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305100 | PA      | $322475.37     | 0.00%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128317 | PA      | $132694.95     | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KN53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90782 | PA      | $95176.46      | 0.00%             | 2037-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241LPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     882338 | PA      | $913822.20     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     483212 | PA      | $504736.89     | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     307378 | PA      | $316992.44     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  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        |      60074 | PA      | $58201.39      | 0.00%             | 2035-06-25      | Floating      | 4.57%                 | 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        |     228041 | PA      | $205653.19     | 0.00%             | 2034-06-25      | Floating      | 4.47%                 | Yes           |                  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      | $82006.80      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | 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        |     400092 | PA      | $376615.72     | 0.00%             | 2035-03-25      | Floating      | 4.42%                 | 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        |   31615090 | PA      | $29775249.82   | 0.06%             | 2060-12-25      | Variable      | 1.75%                 | Yes           |                  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        |   15792770 | PA      | $15914452.13   | 0.03%             | 2028-04-17      | Fixed         | 6.15%                 | Yes           |                  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        |   10948607 | PA      | $11033084.43   | 0.02%             | 2028-10-16      | Fixed         | 5.96%                 | 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      | $9528160.29    | 0.02%             | 2029-05-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290QWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7779 | PA      | $7870.96       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290T6X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43499 | PA      | $44350.26      | 0.00%             | 2037-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36291MSC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17389 | PA      | $18047.48      | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | 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      | $19277230.90   | 0.04%             | 2029-08-15      | Fixed         | 6.65%                 | Yes           |                  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        |   19415887 | PA      | $19137610.94   | 0.04%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                   | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                                                          | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   42711627 | PA      | $41792357.83   | 0.08%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                     | Galaxy Pipeline Assets Bidco Ltd.                                                                                        | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   14425227 | PA      | $12292998.13   | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  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      | $15550725.34   | 0.03%             | 2049-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   36128000 | PA      | $26974805.73   | 0.05%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    9165000 | PA      | $8207788.52    | 0.02%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   16105000 | PA      | $14781514.45   | 0.03%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   23352000 | PA      | $24500999.90   | 0.05%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    9690000 | PA      | $8673783.44    | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    6266000 | PA      | $6411776.67    | 0.01%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3625000 | PA      | $3483021.44    | 0.01%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   41950000 | PA      | $42093029.78   | 0.08%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   20900000 | PA      | $20882870.99   | 0.04%             | 2035-11-15      | Fixed         | 5.55%                 | 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      | $22215708.21   | 0.04%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class C                                                               | CUSIP: 37989YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5205000 | PA      | $5220167.89    | 0.01%             | 2031-05-15      | Fixed         | 4.69%                 | Yes           |                  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      | $27908227.46   | 0.05%             | 2029-10-24      | Variable      | 6.48%                 | 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      | $26231991.87   | 0.05%             | 2030-07-23      | Variable      | 5.05%                 | 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      | $55994070.60   | 0.11%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13622480.04   | 0.03%             | 2036-01-28      | Variable      | 5.54%                 | 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      | $40794729.49   | 0.08%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   44510000 | PA      | $44675765.48   | 0.08%             | 2036-10-21      | Variable      | 4.94%                 | 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      | $1616333.75    | 0.00%             | 2037-10-01      | Fixed         | 6.75%                 | 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      | $18547529.12   | 0.03%             | 2029-04-23      | Variable      | 3.81%                 | 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      | $15121640.95   | 0.03%             | 2039-04-23      | Variable      | 4.41%                 | No            |                  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      | $10700743.01   | 0.02%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  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      | $780173.13     | 0.00%             | 2042-04-22      | Variable      | 3.21%                 | 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      | $11559444.05   | 0.02%             | 2032-07-21      | Variable      | 2.38%                 | 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      | $13435648.92   | 0.03%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   23688000 | PA      | $21924169.49   | 0.04%             | 2033-02-24      | Variable      | 3.10%                 | 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      | $4329880.97    | 0.01%             | 2043-02-24      | Variable      | 3.44%                 | 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      | $15283307.92   | 0.03%             | 2028-03-15      | Variable      | 3.62%                 | 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      | $4179973.45    | 0.01%             | 2038-10-31      | Variable      | 4.02%                 | 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        |    5596950 | PA      | $5677893.83    | 0.01%             | 2046-10-20      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Goodleap LLC                                                          | Goodleap LLC, Class A                                                                                                    | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | DBT              | CORP              | US        |   67475080 | PA      | $69936925.30   | 0.13%             | 2038-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2023-1A, Class A                                                                                       | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   42409927 | PA      | $42013686.43   | 0.08%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2016-1A, Class A                                                                                 | CUSIP: 38217KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6494963 | PA      | $5959477.76    | 0.01%             | 2052-10-15      | Fixed         | 3.23%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-1A, Class A                                                                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1850744 | PA      | $1715848.36    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Ltd.                                                        | Goodgreen Ltd., Series 2024-1A, Class A                                                                                  | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   59845434 | PA      | $60354120.28   | 0.11%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2019-2A, Class A                                                                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   15215974 | PA      | $13184597.43   | 0.02%             | 2055-04-15      | Fixed         | 2.76%                 | 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        |    8630864 | PA      | $7877219.48    | 0.01%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  3 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                             | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A                                                       | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55945000 | PA      | $56063396.40   | 0.11%             | 2049-10-20      | Fixed         | 5.00%                 | Yes           |                  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      | $11298869.96   | 0.02%             | 2034-10-07      | Fixed         | 5.12%                 | Yes           |                  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      | $5105238.57    | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-64, Class SN                                                                                           | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     458851 | PA      | $26955.55      | 0.00%             | 2039-07-16      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-72, Class SM                                                                                           | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     645271 | PA      | $51585.64      | 0.00%             | 2039-08-16      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-81, Class S                                                                                            | CUSIP: 38373M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1243995 | PA      | $6567.30       | 0.00%             | 2038-09-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-46, Class MG                                                                                           | CUSIP: 38373Q2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177499 | PA      | $177065.71     | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-25, Class PZ                                                                                           | CUSIP: 38373QDV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500697 | PA      | $499563.15     | 0.00%             | 2033-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-52, Class AP                                                                                           | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91749 | PA      | $82208.80      | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2001-35, Class SA                                                                                           | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30069 | PA      | $86.40         | 0.00%             | 2031-08-16      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-12, Class SP                                                                                           | CUSIP: 38373SNF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54471 | PA      | $465.09        | 0.00%             | 2033-02-20      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2002-52, Class GH                                                                                           | CUSIP: 38373XE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171683 | PA      | $171283.19     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-79, Class SY                                                                                           | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     559999 | PA      | $3329.53       | 0.00%             | 2037-12-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-17                                                                                                     | CUSIP: 383742TE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84372 | PA      | $110.40        | 0.00%             | 2038-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-58, Class BE                                                                                           | CUSIP: 38374BNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     236693 | PA      | $236060.96     | 0.00%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-75, Class ZX                                                                                           | CUSIP: 38374CDG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282370 | PA      | $282271.96     | 0.00%             | 2033-09-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-36, Class SH                                                                                           | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     576143 | PA      | $3105.47       | 0.00%             | 2038-04-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-34                                                                                                     | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23205 | PA      | $19459.10      | 0.00%             | 2036-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-33, Class Z                                                                                            | CUSIP: 38374DEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     793721 | PA      | $816779.18     | 0.00%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-97, Class SA                                                                                           | CUSIP: 38374EVW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83105 | PA      | $446.78        | 0.00%             | 2033-11-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-112, Class SA                                                                                          | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200000 | PA      | $1112.36       | 0.00%             | 2033-12-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-46                                                                                                     | CUSIP: 38374G5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170373 | PA      | $144023.73     | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-28, Class S                                                                                            | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89234 | PA      | $98516.61      | 0.00%             | 2034-04-16      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-49, Class Z                                                                                            | CUSIP: 38374GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     712650 | PA      | $721156.14     | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-73, Class JL                                                                                           | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     734943 | PA      | $67271.38      | 0.00%             | 2034-09-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class SB                                                                                           | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74268 | PA      | $81473.81      | 0.00%             | 2034-09-20      | Floating      | 9.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class ST                                                                                           | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74268 | PA      | $74810.55      | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-96, Class SC                                                                                           | CUSIP: 38374JG75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     627598 | PA      | $3132.97       | 0.00%             | 2034-11-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-89, Class LS                                                                                           | CUSIP: 38374JLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50001 | PA      | $50515.91      | 0.00%             | 2034-10-16      | Floating      | 9.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-90, Class SI                                                                                           | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     998448 | PA      | $48984.34      | 0.00%             | 2034-10-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-7, Class JM                                                                                            | CUSIP: 38374KF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1221 | PA      | $1306.46       | 0.00%             | 2034-05-18      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-3, Class SK                                                                                            | CUSIP: 38374KRV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     660361 | PA      | $34594.85      | 0.00%             | 2035-01-20      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class KI                                                                                           | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1442059 | PA      | $132660.62     | 0.00%             | 2035-09-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class DP                                                                                           | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135292 | PA      | $149016.78     | 0.00%             | 2035-06-17      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-72, Class AZ                                                                                           | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256135 | PA      | $260845.51     | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-65, Class SA                                                                                           | CUSIP: 38374LK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26894 | PA      | $28464.59      | 0.00%             | 2035-08-20      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-56, Class IC                                                                                           | CUSIP: 38374LRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68657 | PA      | $7026.13       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-66, Class SP                                                                                           | CUSIP: 38374LU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42448 | PA      | $47712.50      | 0.00%             | 2035-08-16      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-22, Class AO                                                                                           | CUSIP: 38374M2N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176561 | PA      | $148599.17     | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-82                                                                                                     | CUSIP: 38374MBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96804 | PA      | $82128.99      | 0.00%             | 2035-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-16, Class OP                                                                                           | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122400 | PA      | $103029.82     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-91, Class PI                                                                                           | CUSIP: 38374MSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141501 | PA      | $11343.78      | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-59, Class SD                                                                                           | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     254343 | PA      | $16095.15      | 0.00%             | 2036-10-20      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-38, Class ZK                                                                                           | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     967141 | PA      | $964756.42     | 0.00%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-57, Class PZ                                                                                           | CUSIP: 38374NXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     428496 | PA      | $427441.62     | 0.00%             | 2036-10-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-10, Class SA                                                                                           | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     466464 | PA      | $33432.60      | 0.00%             | 2039-02-20      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-11, Class SC                                                                                           | CUSIP: 38374TJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     311116 | PA      | $6226.95       | 0.00%             | 2039-02-16      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-35, Class ZB                                                                                           | CUSIP: 38374TP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6354728 | PA      | $6648277.69    | 0.01%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-22, Class SA                                                                                           | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     666939 | PA      | $51833.66      | 0.00%             | 2039-04-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-31, Class TS                                                                                           | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137143 | PA      | $2888.17       | 0.00%             | 2039-03-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-43, Class SA                                                                                           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     447402 | PA      | $20478.38      | 0.00%             | 2039-06-20      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class TI                                                                                           | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135519 | PA      | $9162.16       | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class CI                                                                                           | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97956 | PA      | $6017.18       | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-42, Class SC                                                                                           | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     627620 | PA      | $52193.72      | 0.00%             | 2039-06-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class NI                                                                                           | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     360682 | PA      | $20534.36      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class KI                                                                                           | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161967 | PA      | $8509.09       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-25, Class SE                                                                                           | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255283 | PA      | $6625.84       | 0.00%             | 2038-09-20      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FC                                                                                          | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109748 | PA      | $109701.49     | 0.00%             | 2063-06-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FG                                                                                          | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145211 | PA      | $145157.86     | 0.00%             | 2063-05-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class FA                                                                                          | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        262 | PA      | $238.30        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class JA                                                                                          | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     823326 | PA      | $821133.53     | 0.00%             | 2063-01-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H03, Class FA                                                                                          | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        323 | PA      | $320.97        | 0.00%             | 2060-08-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H02, Class HF                                                                                          | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        646 | PA      | $641.35        | 0.00%             | 2062-11-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H05, Class FB                                                                                          | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     284260 | PA      | $284268.35     | 0.00%             | 2060-12-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H06, Class FA                                                                                          | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     273022 | PA      | $272905.70     | 0.00%             | 2061-02-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H04, Class SA                                                                                          | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     466664 | PA      | $466010.60     | 0.00%             | 2063-02-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H08, Class FC                                                                                          | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     515368 | PA      | $515220.03     | 0.00%             | 2063-02-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H19, Class FA                                                                                          | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187626 | PA      | $187567.25     | 0.00%             | 2061-08-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class HA                                                                                          | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597810 | PA      | $596875.81     | 0.00%             | 2063-03-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FB                                                                                          | CUSIP: 38375BQN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     423822 | PA      | $424455.01     | 0.00%             | 2062-03-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FS                                                                                          | CUSIP: 38375BQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1387603 | PA      | $1392408.67    | 0.00%             | 2062-04-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class MA                                                                                          | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        419 | PA      | $417.83        | 0.00%             | 2062-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H09, Class HA                                                                                          | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62514 | PA      | $59688.41      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H10, Class FA                                                                                          | CUSIP: 38375BRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1690058 | PA      | $1691396.41    | 0.00%             | 2061-12-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H15, Class FA                                                                                          | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        147 | PA      | $146.11        | 0.00%             | 2062-05-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H18, Class NA                                                                                          | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127844 | PA      | $127817.57     | 0.00%             | 2062-08-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H21, Class CF                                                                                          | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4142 | PA      | $4145.35       | 0.00%             | 2061-05-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FA                                                                                          | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163723 | PA      | $162699.76     | 0.00%             | 2060-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FE                                                                                          | CUSIP: 38375BWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23706 | PA      | $23709.43      | 0.00%             | 2062-10-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FG                                                                                          | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7078 | PA      | $7044.11       | 0.00%             | 2060-04-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H28, Class FA                                                                                          | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19451 | PA      | $19450.24      | 0.00%             | 2062-09-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class MA                                                                                          | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39035 | PA      | $39003.20      | 0.00%             | 2062-07-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class JA                                                                                          | CUSIP: 38375BYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        880 | PA      | $877.21        | 0.00%             | 2061-10-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H29, Class FA                                                                                          | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     888533 | PA      | $888772.14     | 0.00%             | 2062-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-60, Class CS                                                                                           | CUSIP: 38375DAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     483666 | PA      | $5780.20       | 0.00%             | 2038-07-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-76, Class US                                                                                           | CUSIP: 38375DUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597309 | PA      | $15629.83      | 0.00%             | 2038-09-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-95, Class DS                                                                                           | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1066810 | PA      | $8172.30       | 0.00%             | 2038-12-20      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-25, Class FN                                                                                           | CUSIP: 38375J2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219129 | PA      | $216635.34     | 0.00%             | 2037-05-16      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-28, Class BO                                                                                           | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34590 | PA      | $28519.06      | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-27, Class SD                                                                                           | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     464358 | PA      | $10185.33      | 0.00%             | 2037-05-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-9, Class CI                                                                                            | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     477258 | PA      | $32512.29      | 0.00%             | 2037-03-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JI                                                                                           | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     629030 | PA      | $49262.28      | 0.00%             | 2037-04-16      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JO                                                                                           | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244045 | PA      | $201532.49     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-19, Class SD                                                                                           | CUSIP: 38375JTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225980 | PA      | $1177.13       | 0.00%             | 2037-04-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SD                                                                                           | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     368292 | PA      | $13235.29      | 0.00%             | 2037-07-20      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SN                                                                                           | CUSIP: 38375KB68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     505657 | PA      | $15330.97      | 0.00%             | 2037-07-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-26, Class SC                                                                                           | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     421255 | PA      | $8563.91       | 0.00%             | 2037-05-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SJ                                                                                           | CUSIP: 38375KHN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     348778 | PA      | $3128.99       | 0.00%             | 2037-06-20      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SE                                                                                           | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260777 | PA      | $2481.18       | 0.00%             | 2037-06-16      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class HO                                                                                           | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60852 | PA      | $49500.95      | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-35                                                                                                     | CUSIP: 38375KPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     643012 | PA      | $529920.00     | 0.00%             | 2037-06-16      | 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        |     529632 | PA      | $35575.56      | 0.00%             | 2037-07-20      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-73, Class MI                                                                                           | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     439465 | PA      | $2053.88       | 0.00%             | 2037-11-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class ES                                                                                           | CUSIP: 38375LFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     400200 | PA      | $14342.18      | 0.00%             | 2037-09-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-67, Class SI                                                                                           | CUSIP: 38375LG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     460390 | PA      | $2751.29       | 0.00%             | 2037-11-20      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class SW                                                                                           | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88404 | PA      | $96522.89      | 0.00%             | 2037-09-20      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-76, Class SB                                                                                           | CUSIP: 38375LR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     855109 | PA      | $4984.94       | 0.00%             | 2037-11-20      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-72, Class US                                                                                           | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     386715 | PA      | $2301.88       | 0.00%             | 2037-11-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-74, Class SL                                                                                           | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     494823 | PA      | $2807.72       | 0.00%             | 2037-11-16      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-1                                                                                                      | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25296 | PA      | $20660.72      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SP                                                                                            | CUSIP: 38375PQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64218 | PA      | $64297.17      | 0.00%             | 2037-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SK                                                                                            | CUSIP: 38375PQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44863 | PA      | $45020.18      | 0.00%             | 2037-11-20      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-96, Class SL                                                                                           | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     357305 | PA      | $7230.00       | 0.00%             | 2038-12-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-50, Class KB                                                                                           | CUSIP: 38375QD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288350 | PA      | $297277.75     | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-33, Class XS                                                                                           | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251673 | PA      | $12695.03      | 0.00%             | 2038-04-16      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-55, Class SA                                                                                           | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142901 | PA      | $1130.93       | 0.00%             | 2038-06-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-40, Class SA                                                                                           | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1400960 | PA      | $72205.18      | 0.00%             | 2038-05-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H01, Class FD                                                                                          | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     653154 | PA      | $654759.04     | 0.00%             | 2064-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H05, Class FA                                                                                          | CUSIP: 38375UDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2016121 | PA      | $2021921.61    | 0.00%             | 2064-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H06, Class HB                                                                                          | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     263604 | PA      | $264249.28     | 0.00%             | 2064-03-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H10, Class TA                                                                                          | CUSIP: 38375UFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5241371 | PA      | $5248705.41    | 0.01%             | 2064-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H09, Class TA                                                                                          | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     556794 | PA      | $557885.53     | 0.00%             | 2064-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H11, Class VA                                                                                          | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5703819 | PA      | $5704474.42    | 0.01%             | 2064-06-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H17, Class FC                                                                                          | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3151395 | PA      | $3151582.73    | 0.01%             | 2064-07-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H19, Class FE                                                                                          | CUSIP: 38375UPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3430051 | PA      | $3429404.75    | 0.01%             | 2064-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H20, Class LF                                                                                          | CUSIP: 38375UQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2549481 | PA      | $2546287.39    | 0.00%             | 2064-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H03, Class FA                                                                                          | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     552202 | PA      | $552277.73     | 0.00%             | 2064-12-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H02, Class FB                                                                                          | CUSIP: 38375UUA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     495630 | PA      | $495653.30     | 0.00%             | 2064-12-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H06, Class FA                                                                                          | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2632753 | PA      | $2632441.03    | 0.00%             | 2065-02-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H05, Class FC                                                                                          | CUSIP: 38375UUV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5968374 | PA      | $5967797.18    | 0.01%             | 2065-02-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H08, Class FC                                                                                          | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6319442 | PA      | $6318762.09    | 0.01%             | 2065-03-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H07, Class ES                                                                                          | CUSIP: 38375UVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1258042 | PA      | $1257653.18    | 0.00%             | 2065-02-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H11, Class FD                                                                                          | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4420315 | PA      | $4451685.21    | 0.01%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-71, Class SC                                                                                           | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163905 | PA      | $790.14        | 0.00%             | 2038-08-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-93, Class AS                                                                                           | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     653957 | PA      | $37877.76      | 0.00%             | 2038-12-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SA                                                                                            | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     266545 | PA      | $1232.85       | 0.00%             | 2039-02-16      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SH                                                                                            | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283561 | PA      | $1398.61       | 0.00%             | 2039-02-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-79, Class CS                                                                                           | CUSIP: 38375YNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346194 | PA      | $346545.37     | 0.00%             | 2035-06-20      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-75, Class MN                                                                                           | CUSIP: 38376CLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2607214 | PA      | $2757573.83    | 0.01%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-79, Class OK                                                                                           | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     633328 | PA      | $531687.96     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-81, Class SB                                                                                           | CUSIP: 38376F4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1230679 | PA      | $112567.59     | 0.00%             | 2039-09-20      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class AS                                                                                          | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1039920 | PA      | $104511.34     | 0.00%             | 2039-11-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class ST                                                                                          | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3329596 | PA      | $79279.34      | 0.00%             | 2038-02-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-97, Class WA                                                                                           | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     309417 | PA      | $315540.59     | 0.00%             | 2038-11-20      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H08, Class XI                                                                                          | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18918967 | PA      | $767869.81     | 0.00%             | 2067-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H14, Class XI                                                                                          | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18917321 | PA      | $489020.31     | 0.00%             | 2067-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H10, Class FC                                                                                          | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.87          | 0.00%             | 2065-04-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H12, Class FA                                                                                          | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3049512 | PA      | $3049041.24    | 0.01%             | 2065-05-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FD                                                                                          | CUSIP: 38376RDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1783625 | PA      | $1782466.04    | 0.00%             | 2065-06-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FJ                                                                                          | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2232072 | PA      | $2230634.20    | 0.00%             | 2065-06-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FL                                                                                          | CUSIP: 38376RDR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3473699 | PA      | $3471665.08    | 0.01%             | 2065-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FG                                                                                          | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3930824 | PA      | $3928671.48    | 0.01%             | 2065-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H18, Class FA                                                                                          | CUSIP: 38376REW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1629372 | PA      | $1628890.53    | 0.00%             | 2065-06-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H20, Class FA                                                                                          | CUSIP: 38376RFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3075478 | PA      | $3074513.32    | 0.01%             | 2065-08-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H26, Class FG                                                                                          | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1046048 | PA      | $1046412.19    | 0.00%             | 2065-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H32, Class FH                                                                                          | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1752747 | PA      | $1756598.73    | 0.00%             | 2065-12-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H26, Class FC                                                                                          | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3621188 | PA      | $3640612.14    | 0.01%             | 2066-12-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H07, Class FB                                                                                          | CUSIP: 38376RRE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2085553 | PA      | $2092698.18    | 0.00%             | 2066-03-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class BO                                                                                           | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142487 | PA      | $121119.47     | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class CO                                                                                           | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     397616 | PA      | $338453.65     | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-103, Class WA                                                                                          | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159858 | PA      | $163549.45     | 0.00%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-41, Class WA                                                                                           | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282889 | PA      | $290673.18     | 0.00%             | 2033-10-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-130, Class CP                                                                                          | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1126900 | PA      | $1209092.25    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-129, Class AW                                                                                          | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218208 | PA      | $224669.59     | 0.00%             | 2037-04-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-157, Class OP                                                                                          | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1446647 | PA      | $1257000.51    | 0.00%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-22, Class WA                                                                                           | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125238 | PA      | $128761.48     | 0.00%             | 2037-02-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-75, Class SM                                                                                           | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     803553 | PA      | $53579.73      | 0.00%             | 2041-05-20      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-137, Class WA                                                                                          | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     708479 | PA      | $738470.83     | 0.00%             | 2040-07-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-163, Class WA                                                                                          | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1432108 | PA      | $1484897.84    | 0.00%             | 2038-12-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-157, Class UY                                                                                          | CUSIP: 38378AXH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1500000 | PA      | $1370982.30    | 0.00%             | 2041-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-59, Class WA                                                                                           | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     677059 | PA      | $698139.53     | 0.00%             | 2038-08-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WA                                                                                          | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1248663 | PA      | $1251992.20    | 0.00%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WB                                                                                          | CUSIP: 38378GPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     697479 | PA      | $673670.00     | 0.00%             | 2042-09-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WC                                                                                          | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1028626 | PA      | $989033.52     | 0.00%             | 2042-01-20      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-75, Class WA                                                                                           | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     347850 | PA      | $357794.75     | 0.00%             | 2040-06-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-26, Class AK                                                                                           | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     867381 | PA      | $882818.18     | 0.00%             | 2041-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-54, Class WA                                                                                           | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     704784 | PA      | $723778.65     | 0.00%             | 2042-11-20      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-6, Class W                                                                                             | CUSIP: 38378PS33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1113134 | PA      | $1153866.64    | 0.00%             | 2039-01-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-91, Class WA                                                                                           | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     950987 | PA      | $923372.56     | 0.00%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H15, Class FA                                                                                          | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5170995 | PA      | $5171845.53    | 0.01%             | 2064-07-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-147, Class BE                                                                                          | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3874000 | PA      | $3732625.73    | 0.01%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-41, Class W                                                                                            | CUSIP: 38379AX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000563 | PA      | $1011661.38    | 0.00%             | 2042-10-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-188, Class W                                                                                           | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     925876 | PA      | $937228.82     | 0.00%             | 2041-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-91, Class W                                                                                            | CUSIP: 38379PU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1418126 | PA      | $1472273.81    | 0.00%             | 2040-05-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-137, Class WA                                                                                          | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1373867 | PA      | $1430309.68    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H05                                                                                                    | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34239000 | PA      | $1954129.27    | 0.00%             | 2070-03-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2018-H09, Class FE                                                                                          | CUSIP: 38380LEZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1352599 | PA      | $1356173.56    | 0.00%             | 2068-06-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-H20, Class ID                                                                                          | CUSIP: 38380LR21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16807595 | PA      | $976669.18     | 0.00%             | 2069-12-20      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H02, Class MI                                                                                          | CUSIP: 38380LW58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36604008 | PA      | $2066519.51    | 0.00%             | 2070-01-20      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class CI                                                                                          | CUSIP: 38380QAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37327293 | PA      | $2579838.53    | 0.00%             | 2070-05-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class IC                                                                                          | CUSIP: 38380QAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40551406 | PA      | $2541528.74    | 0.00%             | 2070-05-20      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09                                                                                                    | CUSIP: 38380QBM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40197118 | PA      | $1977075.14    | 0.00%             | 2070-05-20      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H11                                                                                                    | CUSIP: 38380QDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22721467 | PA      | $1245545.36    | 0.00%             | 2070-06-20      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class HI                                                                                          | CUSIP: 38380QED0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28021071 | PA      | $2363445.34    | 0.00%             | 2070-07-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class IJ                                                                                          | CUSIP: 38380QEW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32483603 | PA      | $1767481.59    | 0.00%             | 2070-07-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H15                                                                                                    | CUSIP: 38380QJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41208723 | PA      | $2432019.35    | 0.00%             | 2070-08-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-211, Class AC                                                                                          | CUSIP: 38381EJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7388609 | PA      | $5524415.09    | 0.01%             | 2063-01-16      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2025-105, Class SM                                                                                          | CUSIP: 38381NJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23952688 | PA      | $23395642.27   | 0.04%             | 2055-06-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-78, Class SW                                                                                           | CUSIP: 38381WUP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5424630 | PA      | $496807.69     | 0.00%             | 2049-06-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-123, Class LB                                                                                          | CUSIP: 38382HK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9920796 | PA      | $8366621.07    | 0.02%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-134, Class ST                                                                                          | CUSIP: 38382JEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39794082 | PA      | $979917.32     | 0.00%             | 2050-09-20      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-H14, Class BF                                                                                          | CUSIP: 38382YDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7936745 | PA      | $8090352.01    | 0.02%             | 2071-09-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2021-201, Class Z                                                                                           | CUSIP: 38383CZ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18140839 | PA      | $13515246.12   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-9, Class P                                                                                             | CUSIP: 38383FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19851936 | PA      | $17793361.70   | 0.03%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-114, Class BS                                                                                          | CUSIP: 38383TGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13247069 | PA      | $14572948.45   | 0.03%             | 2052-06-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-133, Class ES                                                                                          | CUSIP: 38383TYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8360488 | PA      | $8769806.75    | 0.02%             | 2052-07-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2022-121, Class S                                                                                           | CUSIP: 38383UCQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10778706 | PA      | $11764586.06   | 0.02%             | 2052-07-20      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2023-48, Class W                                                                                            | CUSIP: 38383WUN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9115594 | PA      | $8548275.82    | 0.02%             | 2062-12-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-57, Class PT                                                                                           | CUSIP: 38384NCN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9435082 | PA      | $9320246.95    | 0.02%             | 2064-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2024-164, Class AO                                                                                          | CUSIP: 38384XSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8475584 | PA      | $6831002.64    | 0.01%             | 2054-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WW Grainger, Inc.                                                     | WW Grainger, Inc.                                                                                                        | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |    4364000 | PA      | $3995641.83    | 0.01%             | 2045-06-15      | Fixed         | 4.60%                 | 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        |    5751287 | PA      | $5793294.42    | 0.01%             | 2032-09-20      | Fixed         | 6.46%                 | 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      | $8859282.43    | 0.02%             | 2033-08-22      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12470000 | PA      | $12311759.32   | 0.02%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                    | Grupo Televisa SAB                                                                                                       | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |     767000 | PA      | $616683.34     | 0.00%             | 2046-01-31      | Fixed         | 6.12%                 | No            |                  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      | $1399755.85    | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | 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      | $4403598.89    | 0.01%             | 2070-01-22      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $16854343.80   | 0.03%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4805000 | PA      | $4704838.33    | 0.01%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    6831000 | PA      | $4751140.77    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   27825000 | PA      | $23253698.36   | 0.04%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   28350000 | PA      | $29722019.23   | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17625000 | PA      | $17925023.15   | 0.03%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9612000 | PA      | $10080511.08   | 0.02%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   23003000 | PA      | $24290049.59   | 0.05%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   10120000 | PA      | $10081496.03   | 0.02%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   12475000 | PA      | $12558590.48   | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | 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        |     616210 | PA      | $582845.96     | 0.00%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  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        |    1283770 | PA      | $1243749.88    | 0.00%             | 2047-09-20      | Fixed         | 4.29%                 | Yes           |                  3 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   20470000 | PA      | $18688078.52   | 0.04%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   25865000 | PA      | $24905612.06   | 0.05%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13465000 | PA      | $12785392.63   | 0.02%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13085000 | PA      | $11916859.00   | 0.02%             | 2032-11-22      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3840000 | PA      | $4245692.51    | 0.01%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   43090000 | PA      | $44570848.61   | 0.08%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   11185000 | PA      | $11494344.33   | 0.02%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   17890000 | PA      | $18497699.15   | 0.03%             | 2031-05-13      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8585000 | PA      | $8640841.39    | 0.02%             | 2031-11-06      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   15845000 | PA      | $15987591.53   | 0.03%             | 2036-11-06      | Variable      | 5.13%                 | 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      | $7239563.63    | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | 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        |    4957539 | PA      | $4984883.40    | 0.01%             | 2041-05-15      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216AS0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    2242000 | PA      | $2708690.80    | 0.01%             | 2096-08-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    2375000 | PA      | $2123413.99    | 0.00%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    3583000 | PA      | $3564403.16    | 0.01%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    1918000 | PA      | $1929756.80    | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  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      | $6483936.07    | 0.01%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Hartford HealthCare Corp.                                             | Hartford HealthCare Corp.                                                                                                | CUSIP: 41652PAC3<br>LEI: 549300W3L482NUDOFF24 | Long             | DBT              | CORP              | US        |   23430000 | PA      | $17136788.46   | 0.03%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                      | Welltower OP LLC                                                                                                         | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     460000 | PA      | $516510.77     | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  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        |    1954047 | PA      | $1830545.98    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2017-3A, Class A2                                                                                   | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    5706947 | PA      | $5385013.15    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | 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        |    4789433 | PA      | $4594888.71    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2018-1A, Class A2                                                                                   | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    7225815 | PA      | $7058672.87    | 0.01%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding II                                                       | HERO Funding II                                                                                                          | CUSIP: 42772HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2594545 | PA      | $2276420.28    | 0.00%             | 2044-09-21      | Fixed         | 3.75%                 | No            |                  3 | 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        |    5659384 | PA      | $5745066.67    | 0.01%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  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        |    2696792 | PA      | $2657449.19    | 0.00%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  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        |   40535555 | PA      | $38118298.10   | 0.07%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  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        |   52016178 | PA      | $50621379.85   | 0.09%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  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        |    9355083 | PA      | $9099608.41    | 0.02%             | 2026-12-17      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                                     | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                                                           | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24975000 | PA      | $25053618.80   | 0.05%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Honeywell International, Inc.                                         | Honeywell International, Inc.                                                                                            | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   23400000 | PA      | $22662797.27   | 0.04%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC Finance Corp.                                                    | HSBC Finance Corp.                                                                                                       | CUSIP: 441812JZ8<br>LEI: 213800NQZ5NL1KSD7V45 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9774360.09    | 0.02%             | 2032-05-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                           | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13672412.39   | 0.03%             | 2035-02-02      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                           | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   17160000 | PA      | $17714958.18   | 0.03%             | 2031-01-15      | Variable      | 5.27%                 | 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        |   12136757 | PA      | $12263262.84   | 0.02%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    9020000 | PA      | $8726720.38    | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7365000 | PA      | $7341715.11    | 0.01%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   12950000 | PA      | $12319147.48   | 0.02%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   17530000 | PA      | $17278898.35   | 0.03%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Ltd.                                                 | Identity Digital Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 5493005BN677T7KORE19       | Long             | DBT              | CORP              | IE        |   99500000 | PA      | $100962650.00  | 0.19%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | 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        |     341737 | PA      | $332946.51     | 0.00%             | 2035-05-25      | Floating      | 4.67%                 | 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        |     255950 | PA      | $194726.59     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  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        |     371135 | PA      | $353452.63     | 0.00%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  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      | $12068.00      | 0.00%             | 2018-10-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    2572000 | PA      | $2567919.37    | 0.00%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    8840000 | PA      | $8767715.32    | 0.02%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    7083000 | PA      | $7183999.12    | 0.01%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $6581180.97    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7655000 | PA      | $5037860.14    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7655000 | PA      | $4837556.43    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                           | Intel Corp.                                                                                                              | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   17000000 | PA      | $16296219.38   | 0.03%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                              | International Flavors & Fragrances, Inc.                                                                                 | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   22672000 | PA      | $20448763.50   | 0.04%             | 2030-11-01      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Interstate Power and Light Co.                                        | Interstate Power and Light Co.                                                                                           | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    8615000 | PA      | $8645249.50    | 0.02%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Intuit, Inc.                                                          | Intuit, Inc.                                                                                                             | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    7410000 | PA      | $7450080.76    | 0.01%             | 2053-09-15      | Fixed         | 5.50%                 | 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      | $21975556.24   | 0.04%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    6820000 | PA      | $6443706.30    | 0.01%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5187160.55    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   18040000 | PA      | $18907167.11   | 0.04%             | 2034-05-09      | Fixed         | 5.65%                 | Yes           |                  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      | $14252649.00   | 0.03%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                              | JBS USA Holding Lux SARL                                                                                                 | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1710000 | PA      | $1786813.99    | 0.00%             | 2052-12-01      | Fixed         | 6.50%                 | 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        |       6952 | PA      | $6810.87       | 0.00%             | 2034-09-25      | Variable      | 6.74%                 | 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        |      18640 | PA      | $18008.79      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | 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        |     941779 | PA      | $967191.89     | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | 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        |     286782 | PA      | $286813.22     | 0.00%             | 2033-11-25      | Variable      | 6.30%                 | 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        |     121067 | PA      | $116683.24     | 0.00%             | 2035-02-25      | Variable      | 5.44%                 | 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        |      94607 | PA      | $94188.86      | 0.00%             | 2034-08-25      | Variable      | 4.95%                 | No            |                  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        |      86626 | PA      | $86244.16      | 0.00%             | 2035-07-25      | Variable      | 6.05%                 | No            |                  2 | 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        |      34648 | PA      | $34495.74      | 0.00%             | 2035-07-25      | Variable      | 6.05%                 | 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        |     836534 | PA      | $8.37          | 0.00%             | 2051-02-15      | Variable      | 0.00%                 | 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      | $9492219.20    | 0.02%             | 2035-04-20      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| JBS USA LUX SARL                                                      | JBS USA LUX SARL                                                                                                         | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16735000 | PA      | $17307245.29   | 0.03%             | 2055-02-25      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                              | JBS USA Holding Lux SARL                                                                                                 | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29725000 | PA      | $30426587.29   | 0.06%             | 2036-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                              | JBS USA Holding Lux SARL                                                                                                 | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   32455000 | PA      | $33025130.49   | 0.06%             | 2066-04-15      | Fixed         | 6.38%                 | Yes           |                  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      | $27534399.20   | 0.05%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                       | Jefferies Financial Group, Inc.                                                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3834293.77    | 0.01%             | 2027-06-08      | Fixed         | 6.45%                 | 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      | $1907413.84    | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    8680000 | PA      | $8817233.58    | 0.02%             | 2035-01-15      | Fixed         | 5.10%                 | 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        |   18980152 | PA      | $19352409.33   | 0.04%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  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        |   40098209 | PA      | $40559337.98   | 0.08%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                               | Jonah Energy ABS LLC, Series 2025-1A, Class A1                                                                           | CUSIP: 479913AD7<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   50969862 | PA      | $51622276.08   | 0.10%             | 2040-12-10      | Fixed         | 6.59%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                               | Jonah Energy ABS LLC, Series 2025-2A, Class A1                                                                           | CUSIP: 479915AA8<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   23261849 | PA      | $23292089.00   | 0.04%             | 2041-01-10      | Fixed         | 5.91%                 | Yes           |                  3 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                      | JPMorgan Prime Money Market Fund, Class Institutional                                                                    | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 1390739990 | NS      | $1391296286.43 | 2.61%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                                          | KBC Group NV                                                                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   36960000 | PA      | $40504728.26   | 0.08%             | 2034-09-21      | Variable      | 6.32%                 | Yes           |                  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        |    4061010 | PA      | $66279.74      | 0.00%             | 2038-08-25      | Variable      | 1.00%                 | 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        |    4339588 | PA      | $47227.74      | 0.00%             | 2039-05-25      | Variable      | 0.56%                 | Yes           |                  3 | 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        |    5598247 | PA      | $81124.19      | 0.00%             | 2037-09-25      | Variable      | 0.83%                 | Yes           |                  3 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $4983650.14    | 0.01%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6502148.10    | 0.01%             | 2052-07-15      | Fixed         | 4.95%                 | 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        |       8272 | PA      | $0.00          | 0.00%             | 2026-09-25      | Variable      | 0.99%                 | Yes           |                  3 | 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        |    3500930 | PA      | $94784.18      | 0.00%             | 2039-03-25      | Variable      | 1.90%                 | Yes           |                  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        |    3309660 | PA      | $77459.28      | 0.00%             | 2032-10-25      | Variable      | 1.46%                 | Yes           |                  3 | 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        |     668967 | PA      | $42564.38      | 0.00%             | 2040-04-25      | Variable      | 2.73%                 | Yes           |                  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        |    1866765 | PA      | $182898.15     | 0.00%             | 2041-07-25      | Variable      | 3.16%                 | Yes           |                  3 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                                | Keurig Dr. Pepper, Inc.                                                                                                  | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12810199.41   | 0.02%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3786628.76    | 0.01%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   26465000 | PA      | $27215103.58   | 0.05%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| KeySpan Gas East Corp.                                                | KeySpan Gas East Corp.                                                                                                   | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    4242000 | PA      | $4195180.20    | 0.01%             | 2026-08-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                   | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5481142.02    | 0.01%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                   | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   20500000 | PA      | $21165991.50   | 0.04%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                 | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    8568000 | PA      | $7196614.66    | 0.01%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     829000 | PA      | $839317.35     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CR0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8533342.44    | 0.02%             | 2042-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DF5<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   11000000 | PA      | $8658072.61    | 0.02%             | 2046-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    9140000 | PA      | $9286486.78    | 0.02%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    6950000 | PA      | $6776359.46    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  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      | $8519373.35    | 0.02%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  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      | $41743835.04   | 0.08%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                  | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                                                         | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |   16785000 | PA      | $16817249.02   | 0.03%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| LSEGA Financing plc                                                   | LSEGA Financing plc                                                                                                      | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   30170000 | PA      | $28813171.23   | 0.05%             | 2028-04-06      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   11863000 | PA      | $12464845.10   | 0.02%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   22080000 | PA      | $23041045.25   | 0.04%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Eni USA, Inc.                                                         | Eni USA, Inc.                                                                                                            | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4040000 | PA      | $4270127.09    | 0.01%             | 2027-11-15      | Fixed         | 7.30%                 | 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        |   15609018 | PA      | $15612102.52   | 0.03%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  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        |     296631 | PA      | $183689.97     | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | 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        |      14969 | PA      | $13247.95      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  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      | $432584.19     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $7221694.97    | 0.01%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $9135092.26    | 0.02%             | 2033-03-15      | Fixed         | 5.75%                 | 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        |    3033966 | PA      | $3022475.07    | 0.01%             | 2030-02-15      | Fixed         | 8.68%                 | Yes           |                  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      | $9270156.86    | 0.02%             | 2032-04-20      | Fixed         | 3.09%                 | Yes           |                  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        |      15661 | PA      | $15559.11      | 0.00%             | 2026-12-15      | Floating      | 9.21%                 | Yes           |                  3 | 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        |       2422 | PA      | $2389.31       | 0.00%             | 2026-12-15      | Floating      | 9.21%                 | Yes           |                  3 | 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      | $10727599.20   | 0.02%             | 2031-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                       | Eli Lilly & Co.                                                                                                          | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   15300000 | PA      | $15596552.40   | 0.03%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                       | Eli Lilly & Co.                                                                                                          | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   17320000 | PA      | $16551313.29   | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    4700000 | PA      | $4699513.55    | 0.01%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6745000 | PA      | $6789549.78    | 0.01%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   12150000 | PA      | $12011315.53   | 0.02%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   19370000 | PA      | $20485232.01   | 0.04%             | 2035-01-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6805000 | PA      | $6899913.28    | 0.01%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   39385000 | PA      | $39254416.67   | 0.07%             | 2036-11-04      | Variable      | 4.94%                 | 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        |     368053 | PA      | $370310.87     | 0.00%             | 2034-02-25      | Floating      | 4.82%                 | No            |                  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        |     179042 | PA      | $180153.80     | 0.00%             | 2034-07-25      | Floating      | 4.92%                 | 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      | $2762501.69    | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  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        |      37239 | PA      | $32152.90      | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | 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        |       1792 | PA      | $401.35        | 0.00%             | 2033-12-25      | None          | 0.00%                 | 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        |       7659 | PA      | $5980.75       | 0.00%             | 2034-02-25      | None          | 0.00%                 | 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      | $12559994.97   | 0.02%             | 2038-04-15      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| MMP Capital LLC                                                       | MMP Capital LLC, Series 2025-A, Class A                                                                                  | CUSIP: 55317QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9106244 | PA      | $9176497.36    | 0.02%             | 2031-12-15      | Fixed         | 5.36%                 | 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        |   18856293 | PA      | $19257932.33   | 0.04%             | 2038-12-15      | Fixed         | 8.12%                 | No            |                  3 | On Loan: No      |
| MNR ABS Issuer I LLC                                                  | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   22344740 | PA      | $22993407.65   | 0.04%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | 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      | $19257006.95   | 0.04%             | 2049-07-13      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   13240000 | PA      | $13589565.26   | 0.03%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   28080000 | PA      | $28477522.94   | 0.05%             | 2035-04-01      | Fixed         | 5.40%                 | 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      | $33832929.60   | 0.06%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  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      | $55766256.00   | 0.10%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                                   | Macquarie Bank Ltd.                                                                                                      | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    8095000 | PA      | $7386007.28    | 0.01%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   27694000 | PA      | $29111156.81   | 0.05%             | 2029-03-26      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   13550000 | PA      | $14529393.59   | 0.03%             | 2031-03-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   14928000 | PA      | $15141372.32   | 0.03%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                    | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   34225000 | PA      | $34839153.59   | 0.07%             | 2028-03-27      | Fixed         | 5.20%                 | 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      | $11370266.83   | 0.02%             | 2036-11-20      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Mars, Inc.                                                            | Mars, Inc.                                                                                                               | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   28555000 | PA      | $29510642.76   | 0.06%             | 2032-03-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7790000 | PA      | $7229193.93    | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5518000 | PA      | $5600010.39    | 0.01%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17842000 | PA      | $18438252.88   | 0.03%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   10095000 | PA      | $11209653.76   | 0.02%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BM7<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $2708015.84    | 0.01%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    3665000 | PA      | $3285264.73    | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                                            | Massachusetts Electric Co.                                                                                               | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |    4957000 | PA      | $4026611.95    | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  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        |     101283 | PA      | $91466.99      | 0.00%             | 2034-04-25      | Variable      | 4.24%                 | 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        |     276536 | PA      | $272171.82     | 0.00%             | 2034-04-21      | Variable      | 6.29%                 | 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        |      48172 | PA      | $47285.93      | 0.00%             | 2034-12-25      | Variable      | 6.89%                 | 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        |      60320 | PA      | $57518.55      | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | 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        |     104387 | PA      | $107210.89     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | 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        |     592153 | PA      | $604388.28     | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | 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        |      67345 | PA      | $66428.83      | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | 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        |     111210 | PA      | $88305.09      | 0.00%             | 2034-07-25      | None          | 0.00%                 | 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        |      59271 | PA      | $42026.82      | 0.00%             | 2034-08-25      | None          | 0.00%                 | 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        |        365 | PA      | $363.72        | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | 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        |      56077 | PA      | $49207.08      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |      58785 | PA      | $44547.04      | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  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        |     118121 | PA      | $116466.15     | 0.00%             | 2033-12-26      | Fixed         | 5.25%                 | 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        |      53332 | PA      | $45392.51      | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  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      |
| MASTR Reperforming Loan Trust                                         | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                                                 | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4810042 | PA      | $2280751.26    | 0.00%             | 2035-05-25      | Floating      | 4.42%                 | 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        |     482483 | PA      | $399276.81     | 0.00%             | 2036-05-25      | Variable      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Mayo Clinic                                                           | Mayo Clinic, Series 2016                                                                                                 | CUSIP: 578454AD2<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |    2975000 | PA      | $2446412.83    | 0.00%             | 2052-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    6540000 | PA      | $6563522.29    | 0.01%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $2789288.44    | 0.01%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Mead Johnson Nutrition Co.                                            | Mead Johnson Nutrition Co.                                                                                               | CUSIP: 582839AG1<br>LEI: E4BJRFT3MF4GJDY1SC50 | Long             | DBT              | CORP              | US        |     955000 | PA      | $864084.36     | 0.00%             | 2044-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| MedStar Health, Inc.                                                  | MedStar Health, Inc., Series 20A                                                                                         | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |    7365000 | PA      | $5524291.70    | 0.01%             | 2049-08-15      | Fixed         | 3.63%                 | 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        |     234938 | PA      | $231300.71     | 0.00%             | 2030-06-15      | Floating      | 4.55%                 | 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        |      56576 | PA      | $55488.17      | 0.00%             | 2030-12-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Memorial Health Services                                              | Memorial Health Services                                                                                                 | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   25595000 | PA      | $18536294.95   | 0.03%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  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      | $2783590.63    | 0.01%             | 2055-07-01      | Fixed         | 4.20%                 | 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        |   13511464 | PA      | $13578592.97   | 0.03%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   13120000 | PA      | $10737924.53   | 0.02%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    7065000 | PA      | $4495368.64    | 0.01%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   14550000 | PA      | $8746548.59    | 0.02%             | 2061-12-10      | Fixed         | 2.90%                 | 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      | $61985185.80   | 0.12%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2025-1A, Class B                                                      | CUSIP: 58940BBG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21600000 | PA      | $21597736.32   | 0.04%             | 2031-12-22      | Fixed         | 6.16%                 | Yes           |                  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        |     121386 | PA      | $119362.15     | 0.00%             | 2028-10-25      | Floating      | 4.71%                 | 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        |      64911 | PA      | $63305.94      | 0.00%             | 2033-08-25      | Variable      | 6.29%                 | 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        |     112059 | PA      | $107125.86     | 0.00%             | 2028-10-25      | Floating      | 4.69%                 | 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        |      52938 | PA      | $49225.74      | 0.00%             | 2029-04-25      | Floating      | 4.53%                 | 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        |      63482 | PA      | $63215.24      | 0.00%             | 2029-07-25      | Floating      | 5.26%                 | 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        |     142018 | PA      | $135212.21     | 0.00%             | 2034-08-25      | Variable      | 5.12%                 | 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        |     145560 | PA      | $136500.98     | 0.00%             | 2034-12-25      | Variable      | 5.32%                 | 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        |     328412 | PA      | $296559.70     | 0.00%             | 2035-02-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                         | MetLife, Inc.                                                                                                            | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    2027000 | PA      | $1747143.74    | 0.00%             | 2042-08-13      | Fixed         | 4.12%                 | 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      | $2453754.53    | 0.00%             | 2028-04-01      | Fixed         | 5.20%                 | Yes           |                  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      | $15777226.81   | 0.03%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Microsoft Corp.                                                       | Microsoft Corp.                                                                                                          | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1179354.65    | 0.00%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                             | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $4836486.99    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | 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        |    1930149 | PA      | $1941743.77    | 0.00%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                | MidAmerican Energy Co.                                                                                                   | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   10500000 | PA      | $10998389.22   | 0.02%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                                     | MyMichigan Health, Series 2020                                                                                           | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5410000 | PA      | $3855286.91    | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | 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      | $13564159.85   | 0.03%             | 2028-09-12      | Fixed         | 5.81%                 | Yes           |                  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      | $17368557.02   | 0.03%             | 2027-07-20      | Variable      | 1.54%                 | 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      | $14279305.66   | 0.03%             | 2027-10-13      | Variable      | 1.64%                 | 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      | $21344807.83   | 0.04%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   19000000 | PA      | $19500664.63   | 0.04%             | 2036-09-12      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   11274000 | PA      | $10734647.89   | 0.02%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   16739000 | PA      | $16509499.44   | 0.03%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   26000000 | PA      | $27463398.56   | 0.05%             | 2031-05-27      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   15000000 | PA      | $16013280.00   | 0.03%             | 2034-07-06      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   30645000 | PA      | $31102190.92   | 0.06%             | 2031-07-08      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   41825000 | PA      | $43336982.95   | 0.08%             | 2036-07-08      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Molson Coors Beverage Co.                                             | Molson Coors Beverage Co.                                                                                                | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   20196000 | PA      | $16538113.00   | 0.03%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co.                                                 | Monongahela Power Co.                                                                                                    | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7920000 | PA      | $8437868.76    | 0.02%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1640000 | PA      | $1644030.22    | 0.00%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   17528000 | PA      | $17659287.00   | 0.03%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11200000 | PA      | $9871097.94    | 0.02%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   10600000 | PA      | $10056832.57   | 0.02%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | 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        |     455646 | PA      | $451747.32     | 0.00%             | 2034-04-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5806000 | PA      | $5698374.24    | 0.01%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   12760000 | PA      | $13063730.11   | 0.02%             | 2029-04-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   28395000 | PA      | $29478853.05   | 0.06%             | 2034-04-21      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13630000 | PA      | $14086266.57   | 0.03%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9295000 | PA      | $9743427.61    | 0.02%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11146000 | PA      | $11670655.93   | 0.02%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4930000 | PA      | $5152719.31    | 0.01%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   16015000 | PA      | $16463343.61   | 0.03%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   21675000 | PA      | $22510389.18   | 0.04%             | 2035-07-19      | Variable      | 5.32%                 | 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        |      45980 | PA      | $43441.90      | 0.00%             | 2019-10-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley, Series I                                                                                                 | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   28385000 | PA      | $28415584.27   | 0.05%             | 2031-10-22      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley, Series I                                                                                                 | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   18980000 | PA      | $19041500.89   | 0.04%             | 2036-10-22      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9350000 | PA      | $7390106.67    | 0.01%             | 2042-04-22      | Variable      | 3.22%                 | 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        |   41309343 | PA      | $42950270.11   | 0.08%             | 2053-11-25      | Floating      | 8.07%                 | Yes           |                  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        |    7485289 | PA      | $7577651.85    | 0.01%             | 2054-07-25      | Floating      | 6.82%                 | Yes           |                  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      | $18713315.36   | 0.04%             | 2026-07-27      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                                            | Utah Acquisition Sub, Inc.                                                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    2504000 | PA      | $2495260.01    | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    8486000 | PA      | $8507350.52    | 0.02%             | 2027-08-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    8283000 | PA      | $7611816.83    | 0.01%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    8422000 | PA      | $8421436.06    | 0.02%             | 2025-12-02      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   13055000 | PA      | $12559629.59   | 0.02%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    5289000 | PA      | $5295722.32    | 0.01%             | 2035-10-15      | Fixed         | 5.41%                 | Yes           |                  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        |     199707 | PA      | $179522.26     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals                                                                                                    | CUSIP: 62952EAC1<br>LEI: 254900A1087KNNZSNH72 | Long             | DBT              | CORP              | US        |    5994000 | PA      | $5569422.38    | 0.01%             | 2044-07-01      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24465000 | PA      | $18626672.40   | 0.03%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   30981000 | PA      | $28015498.68   | 0.05%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4058000.00    | 0.01%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals, Series 2020                                                                                       | CUSIP: 62954RAA4<br>LEI: 254900A1087KNNZSNH72 | Long             | DBT              | CORP              | US        |    9170000 | PA      | $6413638.12    | 0.01%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                                     | NTT Finance Corp.                                                                                                        | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   38670000 | PA      | $39876538.03   | 0.07%             | 2032-07-16      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| NTT Finance Corp.                                                     | NTT Finance Corp.                                                                                                        | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   15975000 | PA      | $16693105.01   | 0.03%             | 2035-07-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                          | Nasdaq, Inc.                                                                                                             | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    7712000 | PA      | $8149578.03    | 0.02%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| National Grid plc                                                     | National Grid plc                                                                                                        | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |   21700000 | PA      | $22658140.50   | 0.04%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    5527000 | PA      | $5496237.82    | 0.01%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7892017.20    | 0.01%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                        | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    9180000 | PA      | $9578270.54    | 0.02%             | 2034-06-15      | Fixed         | 5.50%                 | 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      | $12346349.12   | 0.02%             | 2031-02-07      | Fixed         | 5.00%                 | 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      | $3639704.20    | 0.01%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   26080000 | PA      | $25773501.58   | 0.05%             | 2030-07-18      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   22695000 | PA      | $23550691.37   | 0.04%             | 2036-07-14      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Mutual Insurance Co.                                       | Nationwide Mutual Insurance Co.                                                                                          | CUSIP: 638671AC1<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $9282370.44    | 0.02%             | 2031-12-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    8560000 | PA      | $8592476.81    | 0.02%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    4480000 | PA      | $4670389.52    | 0.01%             | 2029-09-13      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   41515000 | PA      | $44201137.99   | 0.08%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   14675000 | PA      | $15106247.91   | 0.03%             | 2031-05-23      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                   | NatWest Markets plc                                                                                                      | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   20945000 | PA      | $21812525.35   | 0.04%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co., Series N                                                                                               | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     700000 | PA      | $792260.79     | 0.00%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    1287000 | PA      | $1307996.59    | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423CA4<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $3401144.53    | 0.01%             | 2041-05-15      | Fixed         | 5.45%                 | 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        |     560850 | PA      | $557808.82     | 0.00%             | 2033-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                                 | New England Power Co.                                                                                                    | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    3024000 | PA      | $2364060.84    | 0.00%             | 2047-12-05      | Fixed         | 3.80%                 | Yes           |                  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      | $12026711.68   | 0.02%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  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      | $46546273.62   | 0.09%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   11250000 | PA      | $8925172.54    | 0.02%             | 2069-05-15      | Fixed         | 4.45%                 | Yes           |                  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      | $7243629.50    | 0.01%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  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      | $2302996.63    | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | Yes           |                  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      | $2321649.57    | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Newmont Corp.                                                         | Newmont Corp.                                                                                                            | CUSIP: 65163LAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4606000 | PA      | $4440240.75    | 0.01%             | 2030-05-13      | Fixed         | 3.25%                 | No            |                  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        |   13503918 | PA      | $13248782.73   | 0.02%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  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      | $2222752.90    | 0.00%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  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      | $10390074.59   | 0.02%             | 2053-02-28      | Fixed         | 5.25%                 | 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      | $44077950.00   | 0.08%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Nexgen, Inc.                                                          | Nexgen, Inc.                                                                                                             | CUSIP: 65346DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9913179 | PA      | $9913179.00    | 0.02%             | 2033-11-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Nexgen, Inc.                                                          | Nexgen, Inc.                                                                                                             | CUSIP: 65346DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1470598 | PA      | $1470598.00    | 0.00%             | 2033-11-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Niagara Mohawk Power Corp.                                            | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    3735000 | PA      | $3851592.77    | 0.01%             | 2055-07-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                            | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    8540000 | PA      | $8488497.82    | 0.02%             | 2054-01-17      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                        | NiSource, Inc.                                                                                                           | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    6726000 | PA      | $6941506.08    | 0.01%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                 | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   12180000 | PA      | $11269853.03   | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | 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        |      11862 | PA      | $11906.81      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | 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        |      35130 | PA      | $35829.32      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | 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        |      65751 | PA      | $66329.38      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    2888000 | PA      | $2442482.33    | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    5192000 | PA      | $4133865.26    | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Norinchukin Bank (The)                                                | Norinchukin Bank (The)                                                                                                   | CUSIP: 656029AP0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |   12700000 | PA      | $12835388.73   | 0.02%             | 2030-09-09      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Northern Natural Gas Co.                                              | Northern Natural Gas Co.                                                                                                 | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |    4550000 | PA      | $4474491.61    | 0.01%             | 2054-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Northern States Power Co.                                             | Northern States Power Co.                                                                                                | CUSIP: 665772CX5<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   15470000 | PA      | $14646630.13   | 0.03%             | 2053-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                                                  | Northern Trust Corp.                                                                                                     | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |    2762000 | PA      | $2718085.88    | 0.01%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                | Northrop Grumman Corp.                                                                                                   | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13073022.95   | 0.02%             | 2040-05-01      | Fixed         | 5.15%                 | 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        |   49964507 | PA      | $50069042.93   | 0.09%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  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      | $42457034.31   | 0.08%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  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      | $7089889.20    | 0.01%             | 2032-12-15      | Fixed         | 6.22%                 | Yes           |                  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      | $21542128.22   | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  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      | $21599186.40   | 0.04%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    6522000 | PA      | $6087974.66    | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4729000 | PA      | $4494943.44    | 0.01%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    4150000 | PA      | $3797512.36    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                                    | nVent Finance SARL                                                                                                       | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |    6750000 | PA      | $6791937.08    | 0.01%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OGE Energy Corp.                                                      | OGE Energy Corp.                                                                                                         | CUSIP: 670837AD5<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    7110000 | PA      | $7386519.35    | 0.01%             | 2029-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                             | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    4715000 | PA      | $4681310.62    | 0.01%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                            | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    6860000 | PA      | $5835527.60    | 0.01%             | 2039-08-15      | Fixed         | 4.30%                 | 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      | $3451471.24    | 0.01%             | 2029-09-20      | Fixed         | 6.37%                 | Yes           |                  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      | $11187906.68   | 0.02%             | 2030-03-20      | Fixed         | 7.76%                 | Yes           |                  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      | $3629473.12    | 0.01%             | 2029-08-20      | Fixed         | 6.74%                 | Yes           |                  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      | $4918460.91    | 0.01%             | 2028-08-21      | Fixed         | 5.21%                 | Yes           |                  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      | $4265827.41    | 0.01%             | 2029-02-20      | Fixed         | 5.54%                 | Yes           |                  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        |    4342764 | PA      | $4284450.94    | 0.01%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Ohio Edison Co.                                                       | Ohio Edison Co.                                                                                                          | CUSIP: 677347CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     780000 | PA      | $901106.71     | 0.00%             | 2036-07-15      | Fixed         | 6.88%                 | No            |                  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      | $8160515.90    | 0.02%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Ohio University                                                       | Ohio University, General Receipts, Federally Taxable                                                                     | CUSIP: 677704A65<br>LEI: 549300P1K3IH2L5SFY61 | Long             | DBT              | MUN               | US        |    5822000 | PA      | $5592292.41    | 0.01%             | 2114-12-01      | Fixed         | 5.59%                 | 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      | $10938351.54   | 0.02%             | 2052-05-01      | Fixed         | 4.71%                 | 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      | $27036284.00   | 0.05%             | 2044-06-01      | Fixed         | 4.62%                 | 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      | $1129922.19    | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | 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      | $18082872.10   | 0.03%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                           | ONEOK, Inc.                                                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   12960000 | PA      | $13020106.15   | 0.02%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                           | ONEOK, Inc.                                                                                                              | CUSIP: 682680DB6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   16771000 | PA      | $16887623.86   | 0.03%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                     | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    1825000 | PA      | $2001424.76    | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | 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      | $6531328.42    | 0.01%             | 2027-03-20      | Fixed         | 3.88%                 | 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        |    8503406 | PA      | $8332617.08    | 0.02%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  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        |    2993139 | PA      | $2939535.81    | 0.01%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2025-B, Class B                                                                           | CUSIP: 68378QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10450000 | PA      | $10471375.48   | 0.02%             | 2033-05-09      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2025-C, Class B                                                                           | CUSIP: 68378RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23150000 | PA      | $23117048.29   | 0.04%             | 2033-07-08      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1952000 | PA      | $1725391.66    | 0.00%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    8872000 | PA      | $6477874.48    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10434000 | PA      | $8047677.94    | 0.02%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   53900000 | PA      | $35654242.55   | 0.07%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19515000 | PA      | $14847450.50   | 0.03%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6958866.10    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    9640000 | PA      | $9426435.63    | 0.02%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   21660000 | PA      | $20124114.09   | 0.04%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   19220000 | PA      | $18895263.30   | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   13100000 | PA      | $12352203.01   | 0.02%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                       | PECO Energy Co.                                                                                                          | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    6430000 | PA      | $4134696.21    | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | 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      | $10294239.83   | 0.02%             | 2036-06-01      | Fixed         | 4.26%                 | 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      | $1954150.03    | 0.00%             | 2051-12-01      | Fixed         | 4.67%                 | 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      | $9409171.49    | 0.02%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  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      | $25114566.08   | 0.05%             | 2052-06-01      | Fixed         | 5.10%                 | 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      | $21804112.96   | 0.04%             | 2032-10-21      | Variable      | 4.81%                 | 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      | $29182253.61   | 0.05%             | 2031-05-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                              | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    9715000 | PA      | $10064057.04   | 0.02%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                          | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UAW3<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6783118.70    | 0.01%             | 2049-10-01      | 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      | $13993977.69   | 0.03%             | 2053-05-15      | Fixed         | 5.25%                 | 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        |    8378104 | PA      | $8280493.79    | 0.02%             | 2054-01-25      | Variable      | 4.00%                 | 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        |   21405273 | PA      | $21425212.24   | 0.04%             | 2051-10-25      | Variable      | 6.49%                 | 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        |   25842102 | PA      | $27305541.18   | 0.05%             | 2040-08-15      | Fixed         | 5.64%                 | 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        |   17542312 | PA      | $16962294.37   | 0.03%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  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      | $4787507.35    | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | 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      | $2208874.40    | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | 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      | $15072012.72   | 0.03%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  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      | $5931428.14    | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  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      | $3813939.25    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | 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      | $7551585.52    | 0.01%             | 2028-07-01      | Fixed         | 3.75%                 | 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      | $8672252.28    | 0.02%             | 2053-01-15      | Fixed         | 6.75%                 | 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      | $30177135.44   | 0.06%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   33829000 | PA      | $36712258.86   | 0.07%             | 2033-06-15      | Fixed         | 6.40%                 | 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      | $22587356.82   | 0.04%             | 2034-05-15      | Fixed         | 5.80%                 | 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      | $18036388.84   | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   35355000 | PA      | $37351793.48   | 0.07%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                            | Pacific Life Insurance Co.                                                                                               | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    3766000 | PA      | $3064357.67    | 0.01%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  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      | $47238461.37   | 0.09%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  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      | $21645243.00   | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  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      | $7597561.60    | 0.01%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  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      | $20896176.24   | 0.04%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Palomino Funding Trust I                                              | Palomino Funding Trust I                                                                                                 | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5290730.50    | 0.01%             | 2028-05-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                                 | Parker-Hannifin Corp.                                                                                                    | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    3759000 | PA      | $3358392.06    | 0.01%             | 2044-11-21      | Fixed         | 4.45%                 | 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      | $1536099.60    | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | 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      | $5331181.91    | 0.01%             | 2028-02-01      | Fixed         | 5.70%                 | 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      | $2577348.30    | 0.00%             | 2029-07-01      | Fixed         | 5.25%                 | Yes           |                  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      | $3094999.71    | 0.01%             | 2030-02-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                    | Pepco Holdings LLC                                                                                                       | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |    3507000 | PA      | $4058867.31    | 0.01%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                                 | Pepperdine University, Series 2020                                                                                       | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    9620000 | PA      | $6113155.02    | 0.01%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                      | Republic of Peru                                                                                                         | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     737000 | PA      | $730367.00     | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    1997000 | PA      | $2220816.17    | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | 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      | $35513249.28   | 0.07%             | 2053-05-19      | Fixed         | 5.30%                 | 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      | $8270330.63    | 0.02%             | 2036-01-15      | Fixed         | 2.28%                 | 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      | $8822963.16    | 0.02%             | 2047-07-15      | Fixed         | 5.54%                 | 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      | $23068055.20   | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | 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      | $27187217.08   | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4504529.79    | 0.01%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2088079.83    | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                            | DOC DR LLC                                                                                                               | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6195000 | PA      | $5580646.37    | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | 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      | $1668381.51    | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | 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      | $7243318.97    | 0.01%             | 2052-05-15      | Fixed         | 5.05%                 | 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      | $22306911.58   | 0.04%             | 2054-05-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                         | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   18050000 | PA      | $16334513.20   | 0.03%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  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      | $27342505.90   | 0.05%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                    | Republic of Poland                                                                                                       | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   18163000 | PA      | $17695302.75   | 0.03%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  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      | $11774331.04   | 0.02%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  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      | $4059003.31    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | 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      | $15403357.61   | 0.03%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                            | Potomac Electric Power Co.                                                                                               | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1345708.23    | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                                               | PowerPay Issuance Trust, Series 2025-1A, Class A                                                                         | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14971805 | PA      | $15021883.13   | 0.03%             | 2041-11-18      | Fixed         | 5.23%                 | Yes           |                  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        |   13344382 | PA      | $13624613.83   | 0.03%             | 2038-12-25      | Fixed         | 7.81%                 | Yes           |                  3 | 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        |    1802293 | PA      | $1804110.52    | 0.00%             | 2028-08-15      | Fixed         | 7.09%                 | Yes           |                  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        |     108590 | PA      | $108952.94     | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRM7 Trust                                                            | PRM7 Trust, Series 2025-PRM7, Class A                                                                                    | CUSIP: 74290HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26545000 | PA      | $26273118.15   | 0.05%             | 2042-11-10      | Variable      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                                            | PRM7 Trust, Series 2025-PRM7, Class B                                                                                    | CUSIP: 74290HAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6865000 | PA      | $6809050.25    | 0.01%             | 2042-11-10      | Variable      | 4.81%                 | Yes           |                  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      | $13740537.22   | 0.03%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Energy, Inc.                                                 | Progress Energy, Inc.                                                                                                    | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2933036.89    | 0.01%             | 2031-10-30      | Fixed         | 7.00%                 | 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      | $50142504.48   | 0.09%             | 2039-04-17      | Fixed         | 5.20%                 | Yes           |                  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      | $14776621.95   | 0.03%             | 2029-08-09      | Variable      | 3.25%                 | Yes           |                  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      | $16336912.36   | 0.03%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  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      | $54565356.09   | 0.10%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  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        |    7416935 | PA      | $7280599.71    | 0.01%             | 2038-10-17      | Fixed         | 1.51%                 | Yes           |                  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      | $46090531.20   | 0.09%             | 2038-10-17      | Fixed         | 2.38%                 | 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      | $10929982.31   | 0.02%             | 2039-01-17      | Fixed         | 3.13%                 | Yes           |                  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      | $22586465.72   | 0.04%             | 2039-01-17      | Fixed         | 3.38%                 | Yes           |                  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      | $14075437.45   | 0.03%             | 2041-02-17      | Fixed         | 3.46%                 | Yes           |                  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      | $20995539.51   | 0.04%             | 2041-02-17      | Fixed         | 3.65%                 | Yes           |                  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      | $6377047.71    | 0.01%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    3830000 | PA      | $3552544.15    | 0.01%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XCE9<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5080099.15    | 0.01%             | 2033-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                            | Prudential Financial, Inc.                                                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    9236000 | PA      | $7384211.92    | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Prudential Funding Asia plc                                           | Prudential Funding Asia plc                                                                                              | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |   16987000 | PA      | $16308741.37   | 0.03%             | 2030-04-14      | Fixed         | 3.12%                 | 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      | $879557.40     | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | 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      | $9893241.85    | 0.02%             | 2053-04-01      | Fixed         | 5.25%                 | 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      | $4368135.27    | 0.01%             | 2037-11-15      | Fixed         | 6.62%                 | 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      | $8247857.46    | 0.02%             | 2051-08-15      | Fixed         | 3.15%                 | No            |                  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      | $6902838.65    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | 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      | $6307233.15    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | 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      | $1060591.90    | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | 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      | $13760074.66   | 0.03%             | 2030-08-15      | Fixed         | 1.60%                 | 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      | $8031845.59    | 0.02%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                    | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    6522000 | PA      | $6230516.43    | 0.01%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                    | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11656783.71   | 0.02%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Puget Sound Energy, Inc.                                              | Puget Sound Energy, Inc.                                                                                                 | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |   10070000 | PA      | $9831272.12    | 0.02%             | 2053-06-01      | Fixed         | 5.45%                 | 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        |   27550027 | PA      | $27916635.23   | 0.05%             | 2040-04-05      | Fixed         | 5.68%                 | Yes           |                  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        |   95299209 | PA      | $97195663.29   | 0.18%             | 2040-04-05      | Fixed         | 6.53%                 | Yes           |                  3 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   17240000 | PA      | $15264494.09   | 0.03%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    3330000 | PA      | $2499250.45    | 0.00%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   26000000 | PA      | $26304331.56   | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | 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      | $16982190.05   | 0.03%             | 2052-07-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    1684000 | PA      | $1678430.96    | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LBD1<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   11460000 | PA      | $12776967.04   | 0.02%             | 2033-11-30      | Fixed         | 6.40%                 | 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        |      58364 | PA      | $47087.51      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | 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      | $34551260.15   | 0.06%             | 2041-11-13      | Fixed         | 5.39%                 | 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      | $47652272.89   | 0.09%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   12800000 | PA      | $12723917.57   | 0.02%             | 2028-04-06      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   21400000 | PA      | $22692265.54   | 0.04%             | 2033-01-21      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   25880000 | PA      | $26558049.79   | 0.05%             | 2031-05-27      | Variable      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| RT Fin LLC                                                            | RT Fin LLC                                                                                                               | CUSIP: 74983KAA9<br>LEI: 2549000QL0MZ8X7VL058 | Long             | ABS-O            | CORP              | US        |    8549938 | PA      | $8713507.12    | 0.02%             | 2043-10-15      | Fixed         | 7.85%                 | No            |                  3 | 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      | $39949078.44   | 0.07%             | 2029-09-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Raisa Funding I LLC                                                   | Raisa Funding LLC                                                                                                        | CUSIP: 75102YAA2<br>LEI: 549300MYI60JNGZB7107 | Long             | ABS-O            | CORP              | US        |    9410863 | PA      | $9581199.72    | 0.02%             | 2038-06-15      | Fixed         | 7.60%                 | No            |                  3 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $3467303.63    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6381598.00    | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3840000 | PA      | $2548782.49    | 0.00%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   11955000 | PA      | $12473384.34   | 0.02%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    5495000 | PA      | $6153754.50    | 0.01%             | 2054-03-15      | Fixed         | 6.40%                 | No            |                  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        |    1420610 | PA      | $1419576.98    | 0.00%             | 2044-12-27      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corp.                                                   | Realty Income Corp.                                                                                                      | CUSIP: 756109AS3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    2243000 | PA      | $2218481.72    | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                    | Regency Centers LP                                                                                                       | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    1755000 | PA      | $1757236.01    | 0.00%             | 2028-03-15      | Fixed         | 4.12%                 | 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      | $22929.97      | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Renew                                                                 | Renew, Series 2017-1A, Class A                                                                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2489311 | PA      | $2339815.18    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| Renew                                                                 | Renew, Series 2024-1A, Class A                                                                                           | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14313314 | PA      | $14531705.21   | 0.03%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| Renew                                                                 | Renew, Series 2024-2A, Class A                                                                                           | CUSIP: 75975DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12235527 | PA      | $11808170.78   | 0.02%             | 2060-11-20      | Fixed         | 5.33%                 | Yes           |                  3 | 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      | $20678496.83   | 0.04%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2005-QA6, Class A32                                                                                   | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     598445 | PA      | $308994.32     | 0.00%             | 2035-05-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   30700000 | PA      | $26309637.52   | 0.05%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   26456000 | PA      | $22440830.02   | 0.04%             | 2030-04-15      | None          | 0.00%                 | 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        |  117202196 | PA      | $117313069.03  | 0.22%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    9385000 | PA      | $9518465.21    | 0.02%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   24270000 | PA      | $24373166.92   | 0.05%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   11867000 | PA      | $11893001.07   | 0.02%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   29653000 | PA      | $30164248.86   | 0.06%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   25946000 | PA      | $26099421.55   | 0.05%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   14835000 | PA      | $15190045.61   | 0.03%             | 2030-01-27      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                  | Royal Bank of Canada                                                                                                     | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   34180000 | PA      | $34689731.13   | 0.07%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                                         | RWC Commercial Mortgage Trust, Series 2025-1, Class A                                                                    | CUSIP: 78348LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11250000 | PA      | $11281672.13   | 0.02%             | 2040-06-25      | Fixed         | 5.01%                 | Yes           |                  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      | $22225297.79   | 0.04%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | 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      | $6718678.03    | 0.01%             | 2032-04-20      | Fixed         | 5.56%                 | Yes           |                  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        |   19748614 | PA      | $17482728.92   | 0.03%             | 2053-02-13      | Fixed         | 2.83%                 | Yes           |                  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        |    4864294 | PA      | $4869423.93    | 0.01%             | 2032-10-20      | Fixed         | 6.50%                 | Yes           |                  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        |   42116048 | PA      | $42661834.29   | 0.08%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  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      | $25466463.23   | 0.05%             | 2032-05-20      | Fixed         | 6.37%                 | Yes           |                  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      | $11661975.44   | 0.02%             | 2031-11-20      | Fixed         | 3.79%                 | 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      | $7423088.59    | 0.01%             | 2038-05-15      | Fixed         | 1.94%                 | 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      | $5520022.16    | 0.01%             | 2043-11-15      | Fixed         | 2.51%                 | 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        |   16298354 | PA      | $16592714.95   | 0.03%             | 2040-06-15      | Fixed         | 4.70%                 | 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      | $6349804.02    | 0.01%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC                                                                                                 | CUSIP: 78433LAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   19235000 | PA      | $19521177.56   | 0.04%             | 2045-03-15      | Fixed         | 5.34%                 | No            |                  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        |    7673105 | PA      | $7712430.63    | 0.01%             | 2029-05-21      | Fixed         | 4.95%                 | Yes           |                  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      | $628605.28     | 0.00%             | 2032-01-20      | Fixed         | 5.51%                 | 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      | $60365865.52   | 0.11%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SRT Issuer I LLC                                                      | SRT Issuer I LLC                                                                                                         | CUSIP: 78475KAC1<br>LEI: 2549007PUYUQCDX9UC96 | Long             | ABS-O            | CORP              | US        |   95000000 | PA      | $95087540.60   | 0.18%             | 2031-07-07      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Safehold GL Holdings LLC                                              | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    7767000 | PA      | $7155852.91    | 0.01%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                              | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    2972000 | PA      | $2661800.50    | 0.00%             | 2032-01-15      | Fixed         | 2.85%                 | 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        |       1043 | PA      | $1038.26       | 0.00%             | 2033-06-25      | None          | 0.00%                 | 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        |      87425 | PA      | $85977.70      | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | 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      | $1059936.29    | 0.00%             | 2037-09-15      | Fixed         | 6.12%                 | 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      | $2247221.78    | 0.00%             | 2041-11-15      | Fixed         | 3.95%                 | 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      | $11128640.32   | 0.02%             | 2051-08-15      | Fixed         | 2.95%                 | 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      | $2885105.94    | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | 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      | $14622023.04   | 0.03%             | 2027-06-14      | Variable      | 1.67%                 | 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      | $47074008.60   | 0.09%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  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      | $21047876.92   | 0.04%             | 2030-09-11      | Variable      | 4.86%                 | 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      | $36572069.64   | 0.07%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAY1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   24590000 | PA      | $24584743.64   | 0.05%             | 2036-09-22      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                          | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   29735000 | PA      | $31046337.59   | 0.06%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                          | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   14000000 | PA      | $15044717.80   | 0.03%             | 2035-05-31      | Variable      | 6.34%                 | 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        |   13804542 | PA      | $13868090.00   | 0.03%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  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      | $13600209.22   | 0.03%             | 2031-03-17      | Fixed         | 6.69%                 | 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      | $96549988.26   | 0.18%             | 2030-12-16      | Fixed         | 5.67%                 | 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        |   16251691 | PA      | $16285491.13   | 0.03%             | 2028-05-15      | Fixed         | 5.24%                 | 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      | $20454445.41   | 0.04%             | 2030-12-16      | Fixed         | 5.47%                 | 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      | $5346869.06    | 0.01%             | 2031-10-15      | Fixed         | 5.97%                 | 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      | $67665527.28   | 0.13%             | 2031-02-18      | Fixed         | 5.69%                 | 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      | $24278904.78   | 0.05%             | 2031-12-15      | Fixed         | 5.32%                 | 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      | $12472136.91   | 0.02%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                               | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAW9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4399000 | PA      | $2911610.12    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  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        |     332593 | PA      | $288781.24     | 0.00%             | 2036-01-25      | Variable      | 2.80%                 | 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        |     271905 | PA      | $240972.05     | 0.00%             | 2034-09-20      | Floating      | 4.77%                 | 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        |     267843 | PA      | $250088.89     | 0.00%             | 2034-09-20      | Floating      | 5.22%                 | 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        |     107600 | PA      | $103060.50     | 0.00%             | 2034-11-20      | Floating      | 4.69%                 | 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        |     122033 | PA      | $113274.21     | 0.00%             | 2034-12-20      | Floating      | 4.67%                 | 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        |     171572 | PA      | $170655.61     | 0.00%             | 2035-01-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAF0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    3421000 | PA      | $3055968.97    | 0.01%             | 2045-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAM5<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    3050000 | PA      | $2296510.55    | 0.00%             | 2046-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Sierra Pacific Power Co.                                              | Sierra Pacific Power Co.                                                                                                 | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |   20270000 | PA      | $20496678.80   | 0.04%             | 2054-03-15      | Fixed         | 5.90%                 | 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        |    5389490 | PA      | $5553521.40    | 0.01%             | 2040-04-20      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class B                                                        | CUSIP: 82650FAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400432 | PA      | $2412524.74    | 0.00%             | 2044-08-22      | Fixed         | 4.64%                 | 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        |    1119473 | PA      | $1108186.06    | 0.00%             | 2038-10-20      | Fixed         | 3.94%                 | 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        |   14225516 | PA      | $14725950.52   | 0.03%             | 2036-11-15      | Fixed         | 5.03%                 | 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      | $7018937.84    | 0.01%             | 2041-05-15      | Fixed         | 5.17%                 | 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        |    4162633 | PA      | $4240134.42    | 0.01%             | 2040-01-20      | Fixed         | 5.83%                 | Yes           |                  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        |    2282734 | PA      | $2348433.53    | 0.00%             | 2040-01-20      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Simon Property Group LP                                               | Simon Property Group LP                                                                                                  | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   12865000 | PA      | $9016729.09    | 0.02%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                             | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7053377.80    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                             | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    8260000 | PA      | $8384991.81    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                      | Skandinaviska Enskilda Banken AB                                                                                         | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   15500000 | PA      | $15593026.04   | 0.03%             | 2030-09-03      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                                        | Smurfit Westrock Financing DAC                                                                                           | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    5760000 | PA      | $5955073.92    | 0.01%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    6844000 | PA      | $6445275.88    | 0.01%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    7650000 | PA      | $7545243.20    | 0.01%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   31110000 | PA      | $28173439.68   | 0.05%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   11289000 | PA      | $11761874.08   | 0.02%             | 2029-01-10      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   21602000 | PA      | $23647375.87   | 0.04%             | 2034-01-10      | Variable      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   16372000 | PA      | $17343983.21   | 0.03%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   25708000 | PA      | $25991318.87   | 0.05%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   36630000 | PA      | $38855063.71   | 0.07%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   56590000 | PA      | $58603528.22   | 0.11%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RCK6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   30570000 | PA      | $30888794.97   | 0.06%             | 2036-10-03      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Solventum Corp.                                                       | Solventum Corp.                                                                                                          | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   26344000 | PA      | $27530255.04   | 0.05%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     895000 | PA      | $945155.26     | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FL2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $2290027.57    | 0.00%             | 2039-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FT5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3408000 | PA      | $2675423.41    | 0.01%             | 2041-12-01      | Fixed         | 3.90%                 | 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      | $4242485.09    | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | 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      | $1398537.43    | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | 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      | $1870784.94    | 0.00%             | 2051-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    5545000 | PA      | $5251909.76    | 0.01%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   25400000 | PA      | $24816752.50   | 0.05%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   14150000 | PA      | $14268995.27   | 0.03%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   13500000 | PA      | $12973010.09   | 0.02%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   12515000 | PA      | $12326115.99   | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | 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      | $6729178.09    | 0.01%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $2448480.77    | 0.00%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                    | Southern Co. (The)                                                                                                       | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   28704000 | PA      | $30316863.41   | 0.06%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  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      | $1702943.92    | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | 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      | $1926740.87    | 0.00%             | 2047-05-30      | Fixed         | 4.40%                 | 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      | $13668884.93   | 0.03%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp., Series B                                                                                 | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7589648.63    | 0.01%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                                    | Southern Power Co.                                                                                                       | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    7079000 | PA      | $6885873.62    | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp.                                                   | Southwest Gas Corp.                                                                                                      | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    3595000 | PA      | $2789579.51    | 0.01%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                       | Southwestern Public Service Co.                                                                                          | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2442545.66    | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   15994000 | PA      | $16312920.36   | 0.03%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    7725000 | PA      | $7896701.88    | 0.01%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| State Street Corp.                                                    | State Street Corp.                                                                                                       | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    9010000 | PA      | $9189143.22    | 0.02%             | 2034-01-26      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                    | State Street Corp.                                                                                                       | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   13330000 | PA      | $13374645.10   | 0.03%             | 2036-10-23      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    5270000 | PA      | $5039686.19    | 0.01%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    3519000 | PA      | $2447650.48    | 0.00%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                                           | Stellantis Finance US, Inc.                                                                                              | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   12937000 | PA      | $11237034.34   | 0.02%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  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      | $14574793.06   | 0.03%             | 2028-07-20      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                            | Street Capital Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   53946006 | PA      | $53946006.49   | 0.10%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | 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        |    5726046 | PA      | $5807440.61    | 0.01%             | 2045-02-15      | Fixed         | 5.21%                 | Yes           |                  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        |       6333 | PA      | $5360.67       | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | 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        |     101849 | PA      | $19002.94      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | 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        |      43983 | PA      | $43681.08      | 0.00%             | 2033-11-25      | Variable      | 5.62%                 | 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        |     296230 | PA      | $291202.95     | 0.00%             | 2033-12-25      | Variable      | 5.50%                 | 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        |     658203 | PA      | $651375.89     | 0.00%             | 2034-02-25      | Variable      | 5.99%                 | 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        |     291972 | PA      | $251598.01     | 0.00%             | 2035-06-25      | Floating      | 4.42%                 | Yes           |                  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        |     228584 | PA      | $221889.27     | 0.00%             | 2034-10-19      | Floating      | 4.73%                 | 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        |     772480 | PA      | $767133.12     | 0.00%             | 2035-07-19      | Floating      | 4.57%                 | 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      | $2495558.03    | 0.00%             | 2026-10-19      | Fixed         | 3.01%                 | 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      | $24468204.69   | 0.05%             | 2029-07-16      | Fixed         | 3.04%                 | 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      | $24360913.71   | 0.05%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDG2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   25582000 | PA      | $26689533.55   | 0.05%             | 2028-09-14      | Fixed         | 5.72%                 | 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      | $24033738.96   | 0.05%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   11584000 | PA      | $12308294.93   | 0.02%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7220000 | PA      | $7309659.12    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1683010.39    | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                         | Sutter Health                                                                                                            | CUSIP: 86944BAL7<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5083732.40    | 0.01%             | 2053-08-15      | Fixed         | 5.55%                 | 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      | $2621443.79    | 0.00%             | 2049-04-02      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Synopsys, Inc.                                                        | Synopsys, Inc.                                                                                                           | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   20850000 | PA      | $21314386.42   | 0.04%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| TCI Communications, Inc.                                              | TCI Communications, Inc.                                                                                                 | CUSIP: 872287AL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1199000 | PA      | $1278836.73    | 0.00%             | 2028-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $17917923.06   | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25095000 | PA      | $24719512.55   | 0.05%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2728547.44    | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   16650000 | PA      | $11449339.37   | 0.02%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    9450000 | PA      | $9134037.45    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    1200000 | PA      | $1098732.60    | 0.00%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   19354000 | PA      | $15007820.08   | 0.03%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   16452000 | PA      | $11245326.48   | 0.02%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    7762000 | PA      | $7953504.61    | 0.01%             | 2044-07-05      | Fixed         | 5.65%                 | 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      | $3369417.65    | 0.01%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  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      | $4585038.95    | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   31814000 | PA      | $36077479.40   | 0.07%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ED0<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     493000 | PA      | $550950.18     | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    4157000 | PA      | $3783706.39    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2604000 | PA      | $2181609.48    | 0.00%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059ENP5<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3119000 | PA      | $2833109.62    | 0.01%             | 2028-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059EU51<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3500000 | PA      | $3129756.91    | 0.01%             | 2028-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    2242000 | PA      | $1476386.33    | 0.00%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wolf ABS LLC                                                          | Wolf ABS LLC, Series 2022-1A, Class A1                                                                                   | CUSIP: 88089JAA5<br>LEI: 549300TL5VN5A8NJIT07 | Long             | ABS-O            | CORP              | US        |   10016893 | PA      | $10236202.88   | 0.02%             | 2042-12-22      | Fixed         | 8.15%                 | Yes           |                  3 | On Loan: No      |
| Wolf ABS LLC                                                          | Wolf ABS LLC, Series 2022-1A, Class A2                                                                                   | CUSIP: 88089JAB3<br>LEI: 549300TL5VN5A8NJIT07 | Long             | ABS-O            | CORP              | US        |   22453095 | PA      | $23575749.66   | 0.04%             | 2042-12-22      | Fixed         | 8.18%                 | Yes           |                  3 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    4275000 | PA      | $3658300.17    | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    6717000 | PA      | $3924206.34    | 0.01%             | 2050-11-15      | Fixed         | 2.33%                 | 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        |   11052458 | PA      | $11391949.60   | 0.02%             | 2035-04-01      | Fixed         | 5.10%                 | 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      | $21373301.65   | 0.04%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                        | Thermo Fisher Scientific, Inc.                                                                                           | CUSIP: 883556CM2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    6745000 | PA      | $5038622.25    | 0.01%             | 2041-10-15      | Fixed         | 2.80%                 | 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        |     630653 | PA      | $631329.68     | 0.00%             | 2043-09-25      | Floating      | 4.71%                 | 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        |     408429 | PA      | $402301.89     | 0.00%             | 2044-12-25      | Variable      | 5.23%                 | 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      | $3523321.94    | 0.01%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2327000 | PA      | $2378824.97    | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $2338806.49    | 0.00%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1794000 | PA      | $1826765.31    | 0.00%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7325000 | PA      | $6804623.43    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    6940000 | PA      | $6151078.91    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                               | Toledo Edison Co. (The)                                                                                                  | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5800000 | PA      | $6389034.49    | 0.01%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                           | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   25100000 | PA      | $26354312.01   | 0.05%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   12800000 | PA      | $9309434.11    | 0.02%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   20230000 | PA      | $13856947.75   | 0.03%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   16000000 | PA      | $12226816.96   | 0.02%             | 2041-06-29      | Fixed         | 2.99%                 | 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        |    5850776 | PA      | $5783889.36    | 0.01%             | 2047-11-25      | Variable      | 4.00%                 | 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        |   86284028 | PA      | $79081779.64   | 0.15%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  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      | $8462510.00    | 0.02%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Trane Technologies Financing Ltd.                                     | Trane Technologies Financing Ltd.                                                                                        | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |   10410000 | PA      | $10891516.74   | 0.02%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                                | Triad Holdings III LLC                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  108744939 | PA      | $108744939.47  | 0.20%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | 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      | $9981542.00    | 0.02%             | 2041-11-17      | Fixed         | 5.35%                 | Yes           |                  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      | $5831447.65    | 0.01%             | 2040-12-17      | Fixed         | 5.00%                 | Yes           |                  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      | $4608710.24    | 0.01%             | 2038-03-17      | Fixed         | 3.20%                 | Yes           |                  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      | $10926161.40   | 0.02%             | 2038-03-17      | Fixed         | 3.40%                 | Yes           |                  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        |   25718563 | PA      | $25840507.67   | 0.05%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Trinity Health Corp.                                                  | Trinity Health Corp., Series 2019                                                                                        | CUSIP: 896517AA7<br>LEI: TWSRHFGEDJDX0GKMGJ67 | Long             | DBT              | CORP              | US        |   20450000 | PA      | $15778837.59   | 0.03%             | 2048-12-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   12630000 | PA      | $12898458.61   | 0.02%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   27075000 | PA      | $27320986.12   | 0.05%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10664702.50   | 0.02%             | 2034-06-08      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    5344000 | PA      | $5786422.06    | 0.01%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   10759000 | PA      | $11377554.60   | 0.02%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8233703.92    | 0.02%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAV4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   40260000 | PA      | $40055731.23   | 0.08%             | 2036-10-23      | Variable      | 4.96%                 | No            |                  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      | $19530000.00   | 0.04%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  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      | $12159592.50   | 0.02%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                     | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   10200000 | PA      | $10790568.07   | 0.02%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8000000 | PA      | $8392087.52    | 0.02%             | 2036-05-09      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   37905000 | PA      | $38209201.65   | 0.07%             | 2033-11-06      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    3831000 | PA      | $3800020.12    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAN0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    1354000 | PA      | $1337262.68    | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    4750000 | PA      | $4408463.32    | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAS9<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    6440000 | PA      | $5627171.66    | 0.01%             | 2034-11-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    5520000 | PA      | $4740472.22    | 0.01%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UOG ABS Issuer I LLC                                                  | UOG ABS Issuer LLC, Series 2023-1, Class A1                                                                              | CUSIP: 90319TAA1<br>LEI: 254900YID84NR2CXVT21 | Long             | ABS-O            | CORP              | US        |   27729985 | PA      | $28631209.47   | 0.05%             | 2040-06-05      | Fixed         | 8.35%                 | Yes           |                  3 | On Loan: No      |
| UPG HI Issuer Trust                                                   | UPG HI Issuer Trust, Series 2025-2, Class A                                                                              | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32250000 | PA      | $32313274.50   | 0.06%             | 2047-09-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| Uber Technologies, Inc.                                               | Uber Technologies, Inc.                                                                                                  | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   13210000 | PA      | $13283976.00   | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | 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      |
| UMass Memorial Health Care Obligated Group                            | UMass Memorial Health Care Obligated Group                                                                               | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6070000 | PA      | $5783463.65    | 0.01%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                         | UniCredit SpA                                                                                                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   10885000 | PA      | $10762387.22   | 0.02%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1290818.64    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    6367000 | PA      | $4984673.81    | 0.01%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   11765000 | PA      | $11537220.19   | 0.02%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   13540000 | PA      | $14032987.74   | 0.03%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CZ3<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    8335000 | PA      | $7838833.87    | 0.01%             | 2055-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    1962000 | PA      | $1501732.22    | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818FE3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4560462.78    | 0.01%             | 2059-08-15      | Fixed         | 3.95%                 | 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        |    9120704 | PA      | $8816314.40    | 0.02%             | 2030-03-01      | Fixed         | 3.50%                 | 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        |   10674776 | PA      | $10535119.79   | 0.02%             | 2031-08-25      | Fixed         | 4.15%                 | 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        |    9662487 | PA      | $9401766.38    | 0.02%             | 2031-08-25      | Fixed         | 4.55%                 | 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        |    1675831 | PA      | $1635241.77    | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | 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        |   15891571 | PA      | $15332355.77   | 0.03%             | 2028-07-07      | Fixed         | 3.45%                 | 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        |    5273080 | PA      | $5041322.81    | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | 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        |   15337181 | PA      | $14643928.33   | 0.03%             | 2028-10-07      | Fixed         | 3.10%                 | 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        |    1083985 | PA      | $1036732.86    | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | 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        |    5485951 | PA      | $5048350.19    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | 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        |    4306244 | PA      | $4193304.02    | 0.01%             | 2028-05-01      | Fixed         | 3.50%                 | 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        |    8511062 | PA      | $8484011.66    | 0.02%             | 2026-03-01      | Fixed         | 4.60%                 | 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        |    3365208 | PA      | $3363233.59    | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  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        |    6319007 | PA      | $6286521.09    | 0.01%             | 2026-09-03      | Fixed         | 3.75%                 | 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        |   27093498 | PA      | $28078395.14   | 0.05%             | 2037-02-15      | Fixed         | 5.45%                 | 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        |    1076135 | PA      | $1074534.40    | 0.00%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5118000 | PA      | $4391244.00    | 0.01%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3906000 | PA      | $3249792.00    | 0.01%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   15089000 | PA      | $12071200.00   | 0.02%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4228000 | PA      | $3238648.00    | 0.01%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1928000 | PA      | $1517104.64    | 0.00%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   20674000 | PA      | $18441208.00   | 0.03%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   11682000 | PA      | $7307091.00    | 0.01%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6211000 | PA      | $5388042.50    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   14965000 | PA      | $11051652.50   | 0.02%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4796000 | PA      | $4648762.80    | 0.01%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8056000 | PA      | $8234742.50    | 0.02%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   19624000 | PA      | $20619918.00   | 0.04%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   29236000 | PA      | $31501790.00   | 0.06%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   33567000 | PA      | $34641144.00   | 0.06%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   22624000 | PA      | $23868320.00   | 0.04%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   56562000 | PA      | $56052942.00   | 0.11%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                            | US Bancorp                                                                                                               | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   12600000 | PA      | $13395735.23   | 0.03%             | 2035-01-23      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                            | US Bancorp                                                                                                               | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   19230000 | PA      | $19861052.06   | 0.04%             | 2031-05-15      | Variable      | 5.08%                 | 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        |      16833 | PA      | $16894.64      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | 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        |      83155 | PA      | $84253.97      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | 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        |     108216 | PA      | $109412.37     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18205979 | PA      | $19195284.88   | 0.04%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3255798 | PA      | $3289416.20    | 0.01%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5426449 | PA      | $5629749.17    | 0.01%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55245000 | PA      | $54960142.97   | 0.10%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54475000 | PA      | $51270338.16   | 0.10%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  289890000 | PA      | $227303201.23  | 0.43%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  138080000 | PA      | $113986118.40  | 0.21%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  531973000 | PA      | $468842763.98  | 0.88%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  256218000 | PA      | $229265068.06  | 0.43%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  198360000 | PA      | $173952420.88  | 0.33%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50821000 | PA      | $40202190.40   | 0.08%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9035000 | PA      | $7071652.13    | 0.01%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70000000 | PA      | $49954296.70   | 0.09%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  179931500 | PA      | $121453762.50  | 0.23%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5431000 | PA      | $4192265.26    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78220000 | PA      | $59749691.60   | 0.11%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43243100 | PA      | $33714415.46   | 0.06%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4200000 | PA      | $3191671.90    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12946000 | PA      | $9542618.03    | 0.02%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  180150000 | PA      | $116260083.53  | 0.22%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   98830000 | PA      | $65351337.50   | 0.12%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   76853000 | PA      | $46472048.44   | 0.09%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4667000 | PA      | $2315269.53    | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  551004000 | PA      | $280258712.84  | 0.53%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29845000 | PA      | $19113624.10   | 0.04%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62475000 | PA      | $33917091.48   | 0.06%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  204145300 | PA      | $117893910.75  | 0.22%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  166815000 | PA      | $108507944.53  | 0.20%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  207900000 | PA      | $156014332.55  | 0.29%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  144750000 | PA      | $85736103.88   | 0.16%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200075000 | PA      | $114394443.84  | 0.21%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  150605000 | PA      | $94369327.94   | 0.18%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131125000 | PA      | $94502196.61   | 0.18%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  172625000 | PA      | $127526718.75  | 0.24%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28800000 | PA      | $24026624.93   | 0.05%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3905000 | PA      | $3583447.66    | 0.01%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101570000 | PA      | $92992096.60   | 0.17%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44779000 | PA      | $43650779.21   | 0.08%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33110000 | PA      | $32822874.05   | 0.06%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6595000 | PA      | $6141851.35    | 0.01%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20140000 | PA      | $19560975.00   | 0.04%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26990000 | PA      | $27314723.44   | 0.05%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7030000 | PA      | $6928119.90    | 0.01%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12550000 | PA      | $12508869.38   | 0.02%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $9845390.60    | 0.02%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828YX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64261800 | PA      | $62996645.81   | 0.12%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5196000 | PA      | $5071783.13    | 0.01%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31575000 | PA      | $29829741.13   | 0.06%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45675000 | PA      | $45402948.28   | 0.09%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  403160000 | PA      | $399835506.36  | 0.75%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  160035000 | PA      | $152095762.87  | 0.29%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15670000 | PA      | $15474002.62   | 0.03%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85520000 | PA      | $81113715.41   | 0.15%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23990000 | PA      | $21603182.36   | 0.04%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  782087500 | PA      | $739103235.84  | 1.39%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  248957000 | PA      | $244878384.77  | 0.46%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  149415000 | PA      | $140006524.22  | 0.26%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  115000000 | PA      | $100705858.80  | 0.19%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28783300 | PA      | $25219118.07   | 0.05%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48420000 | PA      | $45877950.00   | 0.09%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  292700000 | PA      | $262812584.47  | 0.49%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  218300000 | PA      | $207376473.20  | 0.39%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  617050000 | PA      | $604154617.60  | 1.13%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  116650000 | PA      | $110835726.56  | 0.21%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200000000 | PA      | $197296876.00  | 0.37%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  270000000 | PA      | $267373828.80  | 0.50%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113240000 | PA      | $111797958.81  | 0.21%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  171000000 | PA      | $160706601.99  | 0.30%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  111315000 | PA      | $110554057.34  | 0.21%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   86645000 | PA      | $85362247.63   | 0.16%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  175000000 | PA      | $177002929.25  | 0.33%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  113000000 | PA      | $114814179.97  | 0.22%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  318905000 | PA      | $322505137.68  | 0.61%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21000000 | PA      | $21432304.74   | 0.04%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  195000000 | PA      | $194997139.35  | 0.37%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12000000 | PA      | $12036093.72   | 0.02%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $20044062.40   | 0.04%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14250000 | PA      | $14276718.75   | 0.03%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  265210000 | PA      | $267157635.94  | 0.50%             | 2026-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  315775000 | PA      | $333586683.59  | 0.63%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1304950000 | PA      | $1361888635.41 | 2.56%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  972166400 | PA      | $979837395.64  | 1.84%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  826090000 | PA      | $822669475.22  | 1.54%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  450920000 | PA      | $461030474.13  | 0.86%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14685000 | PA      | $15309112.50   | 0.03%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33345000 | PA      | $34362282.92   | 0.06%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53280000 | PA      | $54085443.88   | 0.10%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37635000 | PA      | $38974276.85   | 0.07%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  250000000 | PA      | $251582030.00  | 0.47%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $30653906.40   | 0.06%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61730000 | PA      | $63003181.25   | 0.12%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  264440000 | PA      | $270100668.75  | 0.51%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45000000 | PA      | $45537890.40   | 0.09%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  228000000 | PA      | $231108280.68  | 0.43%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $80075000.00   | 0.15%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108995000 | PA      | $108739542.97  | 0.20%             | 2032-10-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  567895000 | PA      | $458140000.49  | 0.86%             | 2031-08-15      | 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      | $115443338.54  | 0.22%             | 2032-08-15      | None          | 0.00%                 | 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      | $27340798.09   | 0.05%             | 2033-02-15      | None          | 0.00%                 | 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      | $18381390.22   | 0.03%             | 2033-08-15      | None          | 0.00%                 | 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      | $163144568.39  | 0.31%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  261915000 | PA      | $213586666.83  | 0.40%             | 2031-05-15      | None          | 0.00%                 | 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      | $133682452.86  | 0.25%             | 2031-11-15      | None          | 0.00%                 | 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      | $88314645.55   | 0.17%             | 2032-05-15      | None          | 0.00%                 | 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      | $93598476.87   | 0.18%             | 2032-11-15      | 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      | $80529615.52   | 0.15%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60239000 | PA      | $43837087.13   | 0.08%             | 2033-11-15      | None          | 0.00%                 | 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      | $6648464.07    | 0.01%             | 2026-02-15      | None          | 0.00%                 | 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      | $24580115.76   | 0.05%             | 2026-05-15      | None          | 0.00%                 | 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      | $10621258.46   | 0.02%             | 2026-11-15      | None          | 0.00%                 | 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      | $46666269.50   | 0.09%             | 2027-11-15      | None          | 0.00%                 | 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      | $87541803.00   | 0.16%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63190000 | PA      | $53140071.57   | 0.10%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  449750000 | PA      | $370456021.20  | 0.70%             | 2031-02-15      | None          | 0.00%                 | 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      | $9582737.79    | 0.02%             | 2039-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31482000 | PA      | $15867186.78   | 0.03%             | 2040-08-15      | None          | 0.00%                 | 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      | $107376957.56  | 0.20%             | 2040-11-15      | None          | 0.00%                 | 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      | $67931468.36   | 0.13%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  178550000 | PA      | $85164548.67   | 0.16%             | 2041-08-15      | None          | 0.00%                 | 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      | $7244798.13    | 0.01%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19005000 | PA      | $6983586.23    | 0.01%             | 2046-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   13927000 | PA      | $12708234.86   | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    7861000 | PA      | $6669256.76    | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                             | RTX Corp.                                                                                                                | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    7060000 | PA      | $5559679.61    | 0.01%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    8210000 | PA      | $6932510.37    | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $3643447.10    | 0.01%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9695000 | PA      | $6690636.91    | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    9740000 | PA      | $10043729.43   | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   19000000 | PA      | $17526370.83   | 0.03%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | 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      | $13712692.22   | 0.03%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| University of Miami                                                   | University of Miami, Series 2022                                                                                         | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $5353551.23    | 0.01%             | 2052-04-01      | Fixed         | 4.06%                 | 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      | $5544924.16    | 0.01%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| vMobo, Inc.                                                           | vMobo, Inc.                                                                                                              | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  110554453 | PA      | $105190351.22  | 0.20%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | 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        |    2387143 | PA      | $2386648.44    | 0.00%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                    | Vale Overseas Ltd.                                                                                                       | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   27542000 | PA      | $26533962.80   | 0.05%             | 2030-07-08      | Fixed         | 3.75%                 | 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        |      87460 | PA      | $87324.16      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | 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        |    3155056 | PA      | $3089882.47    | 0.01%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     770000 | PA      | $769513.35     | 0.00%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7254000 | PA      | $7203989.91    | 0.01%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    4308000 | PA      | $4294620.69    | 0.01%             | 2027-04-01      | Fixed         | 3.85%                 | 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        |    8191649 | PA      | $8345054.99    | 0.02%             | 2031-12-12      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5541863.81    | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | 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      | $2276124.77    | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | 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      | $8367651.46    | 0.02%             | 2031-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2981000 | PA      | $3326313.08    | 0.01%             | 2033-10-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    4203000 | PA      | $4436329.55    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                             | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   13240000 | PA      | $13677807.08   | 0.03%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                                                    | Vodafone Group plc                                                                                                       | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    3745000 | PA      | $3639025.15    | 0.01%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  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        |    1575726 | PA      | $1575642.97    | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  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        |    7663239 | PA      | $7671159.19    | 0.01%             | 2051-12-26      | Variable      | 5.73%                 | Yes           |                  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        |      23420 | PA      | $23181.91      | 0.00%             | 2033-06-25      | Floating      | 6.27%                 | 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        |     160457 | PA      | $157027.73     | 0.00%             | 2033-08-25      | Variable      | 5.65%                 | 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        |     149965 | PA      | $152539.23     | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | 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        |    1015705 | PA      | $1007538.40    | 0.00%             | 2033-09-25      | Variable      | 5.67%                 | 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        |      84075 | PA      | $82202.59      | 0.00%             | 2033-09-25      | Variable      | 5.70%                 | 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        |     771952 | PA      | $770455.76     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | 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        |       8924 | PA      | $7106.47       | 0.00%             | 2033-10-25      | 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        |     549745 | PA      | $519941.11     | 0.00%             | 2033-10-25      | Variable      | 5.83%                 | 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        |     226481 | PA      | $217155.67     | 0.00%             | 2034-06-25      | Variable      | 5.37%                 | 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        |     291031 | PA      | $279047.92     | 0.00%             | 2034-06-25      | Variable      | 5.37%                 | 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        |     108419 | PA      | $107514.34     | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | 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        |     472889 | PA      | $478949.98     | 0.00%             | 2034-06-25      | 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 2005-6, Class 2A4                               | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127286 | PA      | $114502.93     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    4970000 | PA      | $4975477.69    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $10146662.28   | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   10980000 | PA      | $9705436.66    | 0.02%             | 2032-02-01      | Fixed         | 2.45%                 | 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      | $2192667.75    | 0.00%             | 2045-03-15      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| WRKCo, Inc.                                                           | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2852360.55    | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | 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        |      91433 | PA      | $0.91          | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                       | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                                 | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25880000 | PA      | $26781348.64   | 0.05%             | 2040-07-15      | Variable      | 5.53%                 | Yes           |                  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        |     184718 | PA      | $173940.19     | 0.00%             | 2046-08-25      | Variable      | 4.53%                 | 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        |      33703 | PA      | $30989.60      | 0.00%             | 2036-09-25      | Variable      | 4.15%                 | 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        |     247314 | PA      | $246558.04     | 0.00%             | 2035-03-25      | 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 2005-1, Class CP                                | CUSIP: 9393362Y8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21069 | PA      | $14489.00      | 0.00%             | 2035-03-25      | 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 2005-2, Class 1A4                               | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2341036 | PA      | $134401.22     | 0.00%             | 2035-04-25      | Floating      | 0.98%                 | 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        |     531939 | PA      | $30987.12      | 0.00%             | 2035-04-25      | Floating      | 0.93%                 | 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        |     746562 | PA      | $695743.65     | 0.00%             | 2035-06-25      | 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 2005-4, Class CX                                | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     819307 | PA      | $121959.75     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | 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        |        170 | PA      | $138.44        | 0.00%             | 2033-03-25      | 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 2006-1, Class 3A2                               | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63790 | PA      | $60791.74      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3477000 | PA      | $3150442.70    | 0.01%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3394000 | PA      | $3071505.11    | 0.01%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    4149000 | PA      | $3690718.72    | 0.01%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2925000 | PA      | $2937410.51    | 0.01%             | 2027-07-22      | Fixed         | 4.30%                 | 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        |      78493 | PA      | $69650.99      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | 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        |      35913 | PA      | $32942.43      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |       8120 | PA      | $6351.73       | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   11119000 | PA      | $8780546.10    | 0.02%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2467942.40    | 0.00%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15023000 | PA      | $15367608.09   | 0.03%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   18175000 | PA      | $19053002.81   | 0.04%             | 2034-04-24      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15412000 | PA      | $15973117.63   | 0.03%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   16715000 | PA      | $17704329.09   | 0.03%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   46180000 | PA      | $48899440.45   | 0.09%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   22315000 | PA      | $23023179.91   | 0.04%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   95840000 | PA      | $98980261.81   | 0.19%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   93141000 | PA      | $98785989.14   | 0.19%             | 2036-04-23      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                      | Welltower OP LLC                                                                                                         | CUSIP: 95040QAF1<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4734705.50    | 0.01%             | 2048-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                       | Western Funding Auto Loan Trust, Series 2025-1, Class B                                                                  | CUSIP: 958250AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27000000 | PA      | $27216261.90   | 0.05%             | 2035-09-17      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                       | Western Funding Auto Loan Trust, Series 2025-1, Class D                                                                  | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5860000 | PA      | $5940774.83    | 0.01%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Western Midstream Operating LP                                        | Western Midstream Operating LP                                                                                           | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    7040000 | PA      | $6124757.27    | 0.01%             | 2050-02-01      | Fixed         | 5.25%                 | 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      | $19228671.25   | 0.04%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  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        |   10979733 | PA      | $11118728.65   | 0.02%             | 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        |   16028249 | PA      | $16281064.11   | 0.03%             | 2038-01-20      | Fixed         | 6.06%                 | Yes           |                  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        |    8374021 | PA      | $8508908.06    | 0.02%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  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      | $12613956.28   | 0.02%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  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      | $71324862.41   | 0.13%             | 2028-04-17      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    9675000 | PA      | $8844543.28    | 0.02%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   13720000 | PA      | $14506454.96   | 0.03%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   18110000 | PA      | $18936125.14   | 0.04%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5070000 | PA      | $5240430.79    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wolf Energy Asset Issuer LLC                                          | Wolf Energy Asset Issuer LLC                                                                                             | CUSIP: 977701AE1<br>LEI: 254900JUY1UOGKD5MA90 | Long             | ABS-O            | CORP              | US        |   39114405 | PA      | $39114405.48   | 0.07%             | 2050-07-25      | Fixed         | 5.70%                 | No            |                  3 | On Loan: No      |
| Xcel Energy, Inc.                                                     | Xcel Energy, Inc.                                                                                                        | CUSIP: 98389BAN0<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     829000 | PA      | $765507.28     | 0.00%             | 2041-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Xylem, Inc.                                                           | Xylem, Inc.                                                                                                              | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    7315000 | PA      | $6658929.28    | 0.01%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ONESKY CL A LN TR 20211                                               | OneSky Loan Trust, 1st Lien Term Loan A                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   47800344 | PA      | $46169162.39   | 0.09%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Upstart Frn                                                           | Upstart Frn                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   48000000 | PA      | $48000000.00   | 0.09%             | 2027-09-15      | Floating      | 6.80%                 | No            |                  3 | On Loan: No      |
| ENVY MAC                                                              | ENVY MAC                                                                                                                 | CUSIP: N/A<br>LEI: 549300BSSOQO1ZWDUJ97       | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $15000000.00   | 0.03%             | 2027-09-23      | Floating      | 6.85%                 | No            |                  3 | On Loan: No      |
| Mpire                                                                 | Mpire                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   39500000 | PA      | $39611745.50   | 0.07%             | 2030-09-13      | Floating      | 8.29%                 | No            |                  3 | On Loan: No      |
| BAML RCAP                                                             | BAML RCAP                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |   15825607 | PA      | $15825607.00   | 0.03%             | 2029-10-26      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| Jonah                                                                 | Jonah                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   31192218 | PA      | $31600836.31   | 0.06%             | 2037-11-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |     187813 | PA      | $187813.32     | 0.00%             | 2026-01-25      | Fixed         | 9.10%                 | No            |                  3 | On Loan: No      |
| Hornbeck Offshore                                                     | Hornbeck Offshore                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   46825160 | PA      | $46825160.00   | 0.09%             | 2044-01-01      | Fixed         | 8.90%                 | No            |                  3 | On Loan: No      |
| LVNV Funding Frn                                                      | LVNV Funding Frn                                                                                                         | CUSIP: N/A<br>LEI: 549300YMNWAZ7DKR6204       | Long             | ABS-MBS          | CORP              | US        |   50000000 | PA      | $50000000.00   | 0.09%             | 2027-10-15      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Baml PIMCO Frn                                                        | Baml PIMCO Frn                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    9989591 | PA      | $9989590.51    | 0.02%             | 2026-01-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   31573512 | PA      | $31573511.58   | 0.06%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Acrc                                                                  | Acrc                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   22200000 | PA      | $21769319.99   | 0.04%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Grene Energy Senio                                                    | Grene Energy Senio                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    2639255 | PA      | $2181607.79    | 0.00%             | 2027-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Aml-prop CAP Frn                                                      | Aml-prop CAP Frn, Series 2022-E                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    1492582 | PA      | $1486985.21    | 0.00%             | 2027-01-25      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| United Mortgage Mezz                                                  | United 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      |
| Grene 2023-Senior                                                     | Grene 2023-Senior                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   16532101 | PA      | $16927217.95   | 0.03%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                         | BAML RCAP Frn                                                                                                            | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   26078308 | PA      | $26078308.00   | 0.05%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Resurgent                                                             | Resurgent                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   60000000 | PA      | $60000000.00   | 0.11%             | 2030-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| P4 SFR                                                                | P4 SFR                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   31509035 | PA      | $31143529.92   | 0.06%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Starwoood Anoo                                                        | Starwoood Anoo                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   18619077 | PA      | $18549255.15   | 0.03%             | 2026-01-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Ygrene Frn                                                            | Ygrene Frn                                                                                                               | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |  186674468 | PA      | $186674468.32  | 0.35%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Grene Energy                                                          | Grene Energy                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | DK        |    4848602 | PA      | $4531018.24    | 0.01%             | 2027-04-22      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| Baring Frn                                                            | Baring Frn, Series 2021-EBO1, Class PA                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    5278468 | PA      | $5278467.50    | 0.01%             | 2027-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Credit One Ltd.                                                       | Credit One Ltd.                                                                                                          | CUSIP: N/A<br>LEI: 984500DAE0FFZ45C8093       | Long             | ABS-MBS          | CORP              | NG        |   71500000 | PA      | $72601100.00   | 0.14%             | 2029-02-25      | Fixed         | 6.47%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1160730.27    | 0.00%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| EURO                                                                  | EURO                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |       4398 | OU      | $5103.27       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 5 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      29414 | NC      | $3649659.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 2 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      11272 | NC      | $-192816.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Note                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -180 | NC      | $-43143.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Long Bond                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       2460 | NC      | $1763967.60    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Ultra Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      13330 | NC      | $10080039.36   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                   | U.S. Treasury Ultra Bond                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -3493 | NC      | $-3146682.61   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer