# EDGAR Filing Document

**Accession Number:** 0001217286
**File Stem:** 0001752724-23-016731
**Filing Date:** 2023-1
**Character Count:** 345111
**Document Hash:** 621c52c2906aed514a4d31fac0561733
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016731.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016731

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Trust I
- **CENTRAL INDEX KEY:** 0001217286
- **IRS NUMBER:** 331043149
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21295
- **FILM NUMBER:** 23563114

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JP MORGAN MUTUAL FUND SERIES
- **DATE OF NAME CHANGE:** 20030204

## Series and Classes Contracts Data

### JPMorgan Total Return Fund (Series ID: S000022843)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000066239 | Class I      | JMTSX           |
| C000066240 | Class A      | JMTAX           |
| C000066241 | Class C      | JMTCX           |
| C000066242 | Class R5     | JMTRX           |
| C000138090 | Class R2     | JMTTX           |
| C000138091 | Class R6     | JMTIX           |

## Nport-Ex

**JPMorgan Total Return Fund**

**Schedule of Portfolio Investments as of November 30, 2022**

**(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., 2022. |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited)

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| <br> **VALUE** <br>**($000)**<br>|
| **Corporate Bonds — 48.9%** | **Corporate Bonds — 48.9%** | **Corporate Bonds — 48.9%** |
| **Aerospace & Defense — 0.9%** | **Aerospace & Defense — 0.9%** | **Aerospace & Defense — 0.9%** |
| &nbsp;&nbsp;&nbsp; Airbus SE (France) 3.15%, 4/10/2027 (a) | 250 | 234 |
| &nbsp;&nbsp;&nbsp; Boeing Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.17%, 2/4/2023 | 1000 | 992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 2/4/2026 | 300 | 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 3/1/2038 | 500 | 369 |
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp. 3.85%, 4/15/2045 | 250 | 206 |
| &nbsp;&nbsp;&nbsp; Wesco Aircraft Holdings, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 11/15/2026 (a) | 50 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13.13%, 11/15/2027 (a) | 20 | 5 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2111 |
| **Air Freight & Logistics — 0.3%** | **Air Freight & Logistics — 0.3%** | **Air Freight & Logistics — 0.3%** |
| &nbsp;&nbsp;&nbsp; FedEx Corp. 4.10%, 2/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 391 |
| &nbsp;&nbsp;&nbsp; United Parcel Service, Inc. 3.40%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 629 |
| **Airlines — 0.2%** | **Airlines — 0.2%** | **Airlines — 0.2%** |
| &nbsp;&nbsp;&nbsp; Delta Air Lines, Inc. 3.80%, 4/19/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 |
| **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Clarios Global LP 6.75%, 5/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; Cooper-Standard Automotive, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13.00%, 6/1/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 11/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| **Automobiles — 0.6%** | **Automobiles — 0.6%** | **Automobiles — 0.6%** |
| &nbsp;&nbsp;&nbsp; General Motors Co. 5.00%, 10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 480 |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America 2.65%, 2/10/2025 (a) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 934 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1414 |
| **Banks — 10.9%** | **Banks — 10.9%** | **Banks — 10.9%** |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) 3.85%, 4/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398 |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series L, 3.95%, 4/21/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.18%), 3.19%, 7/23/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.81%), 4.24%, 4/24/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.93%), 2.68%, 6/19/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series N, (SOFR + 1.65%), 3.48%, 3/13/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220 |
| &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 3/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 2.67%, 3/10/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.39%), 2.87%, 4/19/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 395 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) 1.25%, 6/22/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.11%), 2.57%, 6/3/2031 (b) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.84%), 4.28%, 4/24/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **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; Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 1.11%, 2/24/2027 <br> (a) (b)<br>| 750 | 650 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) (SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | 750 | 680 |
| &nbsp;&nbsp;&nbsp; Discover Bank 3.35%, 2/6/2023 | 500 | 498 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.93%), 2.10%, 6/4/2026 (b) | 1000 | 907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 2.01%, 9/22/2028 (b) | 750 | 622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.95%), 2.36%, 8/18/2031 (b) | 500 | 382 |
| &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (b) | 750 | 670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.01%), 1.73%, 4/1/2027 (b) | 500 | 441 |
| &nbsp;&nbsp;&nbsp; Korea Development Bank (The) (South Korea) 3.38%, 3/12/2023 | 750 | 747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.70%, <br> 5/11/2024 (b)<br>| &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 976 |
| &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 + 0.83%), 2.34%, 1/19/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 7/17/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 395 |
| &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 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 2.87%, 9/13/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 486 |
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.79%), 1.09%, 3/15/2025 (b) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 928 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 7/8/2025 (a) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 905 |
| &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 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 385 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.47%, 7/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.54%, 1/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 463 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.80%, 9/12/2023 (a) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 965 |
| &nbsp;&nbsp;&nbsp; Truist Bank 3.00%, 2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 748 |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.61%), 1.27%, 3/2/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 8/3/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 422 |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.60%), 1.65%, 6/2/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.10%), 2.39%, 6/2/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.53%), 3.07%, 4/30/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 445 |
| &nbsp;&nbsp;&nbsp; Westpac Banking Corp. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 1/13/2023 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 1/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437 |
|  |  | &nbsp;&nbsp; 24863 |
| **Beverages — 0.8%** | **Beverages — 0.8%** | **Beverages — 0.8%** |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 960 |
| &nbsp;&nbsp;&nbsp; Coca-Cola Co. (The) 1.65%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 412 |
| &nbsp;&nbsp;&nbsp; Keurig Dr Pepper, Inc. 3.40%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 483 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1855 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Biotechnology — 0.4%** | **Biotechnology — 0.4%** | **Biotechnology — 0.4%** |
| &nbsp;&nbsp;&nbsp; AbbVie, Inc. 4.25%, 11/21/2049 | 250 | 215 |
| &nbsp;&nbsp;&nbsp; Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 750 | 589 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 804 |
| **Building Products — 0.8%** | **Building Products — 0.8%** | **Building Products — 0.8%** |
| &nbsp;&nbsp;&nbsp; Carrier Global Corp. 2.70%, 2/15/2031 | 500 | 418 |
| &nbsp;&nbsp;&nbsp; CRH America Finance, Inc. (Ireland) 3.40%, 5/9/2027 (a) | 250 | 233 |
| &nbsp;&nbsp;&nbsp; Johnson Controls International plc 4.50%, 2/15/2047 | 350 | 291 |
| &nbsp;&nbsp;&nbsp; Masco Corp. 1.50%, 2/15/2028 | 1000 | 832 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1774 |
| **Capital Markets — 4.7%** | **Capital Markets — 4.7%** | **Capital Markets — 4.7%** |
| &nbsp;&nbsp;&nbsp; Ameriprise Financial, Inc. 3.00%, 4/2/2025 | 1000 | 960 |
| &nbsp;&nbsp;&nbsp; Cboe Global Markets, Inc. 3.65%, 1/12/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 477 |
| &nbsp;&nbsp;&nbsp; Credit Suisse AG (Switzerland) 1.00%, 5/5/2023 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 960 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Group AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.98%), 1.31%, 2/2/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.41%), 3.87%, 1/12/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp; Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 2/27/2023 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.16%), 2.22%, 9/18/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.13%), 1.45%, 4/1/2025 (b) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 922 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.16%), 3.81%, 4/23/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 5/22/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 857 |
| &nbsp;&nbsp;&nbsp; Lehman Brothers Holdings, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zero Coupon, 8/21/2009 (c) | &nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 5/25/2049 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.99%), 2.19%, 4/28/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.46%), 3.97%, 7/22/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.43%), 2.80%, 1/25/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 323 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) 3.10%, 1/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp; Owl Rock Capital Corp. 4.00%, 3/30/2025 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 944 |
|  |  | &nbsp;&nbsp; 10706 |
| **Chemicals — 0.7%** | **Chemicals — 0.7%** | **Chemicals — 0.7%** |
| &nbsp;&nbsp;&nbsp; Chevron Phillips Chemical Co. LLC 3.30%, 5/1/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743 |
| &nbsp;&nbsp;&nbsp; PPG Industries, Inc. 3.20%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 744 |
| &nbsp;&nbsp;&nbsp; Venator Finance SARL 9.50%, 7/1/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1505 |
| **Commercial Services & Supplies — 0.3%** | **Commercial Services & Supplies — 0.3%** | **Commercial Services & Supplies — 0.3%** |
| &nbsp;&nbsp;&nbsp; Waste Management, Inc. 3.15%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702 |
| **Construction & Engineering — 0.0% ^** | **Construction & Engineering — 0.0% ^** | **Construction & Engineering — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; MasTec, Inc. 4.50%, 8/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Consumer Finance — 2.9%** | **Consumer Finance — 2.9%** | **Consumer Finance — 2.9%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) 3.30%, 1/23/2023 | 500 | 499 |
| &nbsp;&nbsp;&nbsp; American Express Co. 3.70%, 8/3/2023 | 1500 | 1488 |
| &nbsp;&nbsp;&nbsp; American Honda Finance Corp. 1.00%, 9/10/2025 | 1000 | 905 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 5/11/2027 | 500 | 471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.34%), 2.36%, 7/29/2032 (b) | 500 | 364 |
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC 3.81%, 1/9/2024 | 500 | 488 |
| &nbsp;&nbsp;&nbsp; General Motors Financial Co., Inc. 4.00%, 1/15/2025 | 1000 | 973 |
| &nbsp;&nbsp;&nbsp; John Deere Capital Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.45%, 1/17/2024 | 750 | 716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 3/6/2028 | 750 | 648 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6552 |
| **Containers & Packaging — 0.2%** | **Containers & Packaging — 0.2%** | **Containers & Packaging — 0.2%** |
| &nbsp;&nbsp;&nbsp; Amcor Flexibles North America, Inc. 3.10%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp; Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550 |
| **Diversified Financial Services — 0.7%** | **Diversified Financial Services — 0.7%** | **Diversified Financial Services — 0.7%** |
| &nbsp;&nbsp;&nbsp; National Rural Utilities Cooperative Finance Corp. 1.00%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 663 |
| &nbsp;&nbsp;&nbsp; Shell International Finance BV (Netherlands) 2.38%, 11/7/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 658 |
| &nbsp;&nbsp;&nbsp; Siemens Financieringsmaatschappij NV (Germany) 4.20%, 3/16/2047 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 265 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1586 |
| **Diversified Telecommunication Services — 1.3%** | **Diversified Telecommunication Services — 1.3%** | **Diversified Telecommunication Services — 1.3%** |
| &nbsp;&nbsp;&nbsp; AT&T, Inc. 3.55%, 9/15/2055 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701 |
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC 5.13%, 5/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336 |
| &nbsp;&nbsp;&nbsp; ESC Co., Intelsat Jackson Holdings, Ltd. 5.50%, 8/1/2023 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 581 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Frontier Communications Holdings LLC 5.88%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 361 |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 3/22/2028 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 9/18/2030 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 782 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3069 |
| **Electric Utilities — 2.0%** | **Electric Utilities — 2.0%** | **Electric Utilities — 2.0%** |
| &nbsp;&nbsp;&nbsp; Alabama Power Co. 3.75%, 3/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp; Duke Energy Corp. 2.55%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp; Eversource Energy  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series M, 3.30%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 1/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp; Gulf Power Co. Series A, 3.30%, 5/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 471 |
| &nbsp;&nbsp;&nbsp; MidAmerican Energy Co. 3.10%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 472 |
| &nbsp;&nbsp;&nbsp; New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 415 |
| &nbsp;&nbsp;&nbsp; Potomac Electric Power Co. 4.15%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Colorado 1.88%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 400 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp; Public Service Electric and Gas Co. 3.00%, 5/15/2027 | 500 | 467 |
| &nbsp;&nbsp;&nbsp; Xcel Energy, Inc. 3.35%, 12/1/2026 | 500 | 474 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 4614 |
| **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | 15 | 14 |
| **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Live Nation Entertainment, Inc. 6.50%, 5/15/2027 (a) | 24 | 24 |
| **Equity Real Estate Investment Trusts (REITs) — 0.8%** | **Equity Real Estate Investment Trusts (REITs) — 0.8%** | **Equity Real Estate Investment Trusts (REITs) — 0.8%** |
| &nbsp;&nbsp;&nbsp; American Tower Corp. 3.10%, 6/15/2050 | 250 | 165 |
| &nbsp;&nbsp;&nbsp; AvalonBay Communities, Inc. 2.30%, 3/1/2030 | 250 | 211 |
| &nbsp;&nbsp;&nbsp; Boston Properties LP 2.75%, 10/1/2026 | 500 | 454 |
| &nbsp;&nbsp;&nbsp; Crown Castle, Inc. 1.35%, 7/15/2025 | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 910 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1740 |
| **Food & Staples Retailing — 1.0%** | **Food & Staples Retailing — 1.0%** | **Food & Staples Retailing — 1.0%** |
| &nbsp;&nbsp;&nbsp; 7-Eleven, Inc. 0.95%, 2/10/2026 (a) | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 878 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust 7.51%, 1/10/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 479 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 501 |
| &nbsp;&nbsp;&nbsp; Kroger Co. (The) 2.20%, 5/1/2030 | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 816 |
| &nbsp;&nbsp;&nbsp; Rite Aid Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 7/1/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2215 |
| **Food Products — 0.6%** | **Food Products — 0.6%** | **Food Products — 0.6%** |
| &nbsp;&nbsp;&nbsp; Conagra Brands, Inc. 4.85%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488 |
| &nbsp;&nbsp;&nbsp; Kellogg Co. 3.40%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp; Mondelez International, Inc. 1.50%, 2/4/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 387 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1344 |
| **Gas Utilities — 3.3%** | **Gas Utilities — 3.3%** | **Gas Utilities — 3.3%** |
| &nbsp;&nbsp;&nbsp; Atmos Energy Corp. 0.63%, 3/9/2023 | &nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1484 |
| &nbsp;&nbsp;&nbsp; CenterPoint Energy Resources Corp. 0.70%, 3/2/2023 | &nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1977 |
| &nbsp;&nbsp;&nbsp; East Ohio Gas Co. (The) 2.00%, 6/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp; Eastern Energy Gas Holdings LLC Series A, 2.50%, 11/15/2024 | &nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1901 |
| &nbsp;&nbsp;&nbsp; KeySpan Gas East Corp. 2.74%, 8/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp; ONE Gas, Inc. 1.10%, 3/11/2024 | &nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp; 1285 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 7493 |
| **Health Care Equipment & Supplies — 0.5%** | **Health Care Equipment & Supplies — 0.5%** | **Health Care Equipment & Supplies — 0.5%** |
| &nbsp;&nbsp;&nbsp; Abbott Laboratories 3.88%, 9/15/2025 | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 985 |
| &nbsp;&nbsp;&nbsp; Stryker Corp. 1.15%, 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1214 |
| **Health Care Providers & Services — 1.3%** | **Health Care Providers & Services — 1.3%** | **Health Care Providers & Services — 1.3%** |
| &nbsp;&nbsp;&nbsp; Aetna, Inc. 3.50%, 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488 |
| &nbsp;&nbsp;&nbsp; CVS Health Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 8/21/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 3/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **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; Envision Healthcare Corp. 8.75%, 10/15/2026 (a) | 25 | 7 |
| &nbsp;&nbsp;&nbsp; HCA, Inc. 2.38%, 7/15/2031 | 500 | 391 |
| &nbsp;&nbsp;&nbsp; Quest Diagnostics, Inc. 3.50%, 3/30/2025 | 500 | 483 |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/15/2025 | 600 | 589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 7/15/2045 | 500 | 472 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3060 |
| **Hotels, Restaurants & Leisure — 0.0% ^** | **Hotels, Restaurants & Leisure — 0.0% ^** | **Hotels, Restaurants & Leisure — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a) | 35 | 34 |
| &nbsp;&nbsp;&nbsp; Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 8 | 8 |
| &nbsp;&nbsp;&nbsp; Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 12 | 12 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| **Household Durables — 0.4%** | **Household Durables — 0.4%** | **Household Durables — 0.4%** |
| &nbsp;&nbsp;&nbsp; DR Horton, Inc. 1.40%, 10/15/2027 | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 833 |
| **Household Products — 0.0% ^** | **Household Products — 0.0% ^** | **Household Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Spectrum Brands, Inc. 5.75%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| **Industrial Conglomerates — 0.2%** | **Industrial Conglomerates — 0.2%** | **Industrial Conglomerates — 0.2%** |
| &nbsp;&nbsp;&nbsp; Honeywell International, Inc. 1.95%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 418 |
| **Insurance — 2.6%** | **Insurance — 2.6%** | **Insurance — 2.6%** |
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp. 2.85%, 10/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 |
| &nbsp;&nbsp;&nbsp; Brighthouse Financial Global Funding 1.00%, 4/12/2024 (a) | &nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1877 |
| &nbsp;&nbsp;&nbsp; Chubb INA Holdings, Inc. 3.15%, 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 483 |
| &nbsp;&nbsp;&nbsp; Hartford Financial Services Group, Inc. (The) 2.80%, 8/19/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428 |
| &nbsp;&nbsp;&nbsp; Lincoln National Corp. 4.00%, 9/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp; MetLife, Inc. 4.05%, 3/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254 |
| &nbsp;&nbsp;&nbsp; Metropolitan Life Global Funding I 0.95%, 7/2/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp; Principal Life Global Funding II 1.25%, 6/23/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 682 |
| &nbsp;&nbsp;&nbsp; Protective Life Global Funding 1.74%, 9/21/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 384 |
| &nbsp;&nbsp;&nbsp; Willis North America, Inc. 3.60%, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 486 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5861 |
| **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Alphabet, Inc. 2.25%, 8/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303 |
| **Internet & Direct Marketing Retail — 0.5%** | **Internet & Direct Marketing Retail — 0.5%** | **Internet & Direct Marketing Retail — 0.5%** |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 12/5/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 8/22/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1171 |
| **IT Services — 1.0%** | **IT Services — 1.0%** | **IT Services — 1.0%** |
| &nbsp;&nbsp;&nbsp; Fidelity National Information Services, Inc. 1.15%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441 |
| &nbsp;&nbsp;&nbsp; International Business Machines Corp. 4.15%, 5/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351 |
| &nbsp;&nbsp;&nbsp; Mastercard, Inc. 3.65%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 419 |
| &nbsp;&nbsp;&nbsp; PayPal Holdings, Inc. 2.85%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 657 |
| &nbsp;&nbsp;&nbsp; Visa, Inc. 4.30%, 12/14/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 468 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2336 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Life Sciences Tools & Services — 0.3%** | **Life Sciences Tools & Services — 0.3%** | **Life Sciences Tools & Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; Agilent Technologies, Inc. 3.05%, 9/22/2026 | 750 | 703 |
| **Machinery — 0.2%** | **Machinery — 0.2%** | **Machinery — 0.2%** |
| &nbsp;&nbsp;&nbsp; Caterpillar, Inc. 2.60%, 4/9/2030 | 500 | 439 |
| **Media — 0.9%** | **Media — 0.9%** | **Media — 0.9%** |
| &nbsp;&nbsp;&nbsp; Comcast Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 2/15/2028 | 500 | 466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 8/15/2035 | 400 | 378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 11/1/2056 | 323 | 209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 8/15/2062 | 500 | 296 |
| &nbsp;&nbsp;&nbsp; Discovery Communications LLC 4.13%, 5/15/2029 | 500 | 440 |
| &nbsp;&nbsp;&nbsp; DISH DBS Corp. 5.88%, 11/15/2024 | 293 | 279 |
| &nbsp;&nbsp;&nbsp; Sirius XM Radio, Inc. 5.50%, 7/1/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2091 |
| **Multiline Retail — 0.2%** | **Multiline Retail — 0.2%** | **Multiline Retail — 0.2%** |
| &nbsp;&nbsp;&nbsp; Kohl's Corp. 3.62%, 5/1/2031 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 354 |
| &nbsp;&nbsp;&nbsp; Target Corp. 2.35%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 214 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568 |
| **Multi-Utilities — 0.6%** | **Multi-Utilities — 0.6%** | **Multi-Utilities — 0.6%** |
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York, Inc. 4.45%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc. Series C, 4.90%, 8/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co. Series TTT, 4.10%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 575 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1431 |
| **Oil, Gas & Consumable Fuels — 2.4%** | **Oil, Gas & Consumable Fuels — 2.4%** | **Oil, Gas & Consumable Fuels — 2.4%** |
| &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 8/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 6/4/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp; Chesapeake Energy Corp., Escrow 5.50%, 9/15/2026 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; Chevron USA, Inc. 0.69%, 8/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp; Crestwood Midstream Partners LP 5.63%, 5/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp; Energy Transfer LP 5.15%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp; Kinder Morgan, Inc. 5.05%, 2/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 260 |
| &nbsp;&nbsp;&nbsp; Marathon Petroleum Corp. 3.63%, 9/15/2024 | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 975 |
| &nbsp;&nbsp;&nbsp; MPLX LP 1.75%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp; Phillips 66 4.65%, 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237 |
| &nbsp;&nbsp;&nbsp; Phillips 66 Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.61%, 2/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 3/1/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 460 |
| &nbsp;&nbsp;&nbsp; Reliance Industries Ltd. (India) 4.13%, 1/28/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 484 |
| &nbsp;&nbsp;&nbsp; TransCanada PipeLines Ltd. (Canada) 6.10%, 6/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 353 |
| &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The) 4.00%, 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5530 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Personal Products — 0.2%** | **Personal Products — 0.2%** | **Personal Products — 0.2%** |
| &nbsp;&nbsp;&nbsp; ESC SANCHEZ 8.88%, 3/15/2025 ‡ (c) | 41 | &nbsp;&nbsp; —(e) |
| &nbsp;&nbsp;&nbsp; Estee Lauder Cos., Inc. (The) 1.95%, 3/15/2031 | 500 | 406 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 |
| **Pharmaceuticals — 0.6%** | **Pharmaceuticals — 0.6%** | **Pharmaceuticals — 0.6%** |
| &nbsp;&nbsp;&nbsp; Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | 325 | 211 |
| &nbsp;&nbsp;&nbsp; Johnson & Johnson 2.45%, 9/1/2060 | 500 | 322 |
| &nbsp;&nbsp;&nbsp; Mallinckrodt International Finance SA 10.00%, 6/15/2029 (a) | 7 | 4 |
| &nbsp;&nbsp;&nbsp; Merck & Co., Inc. 2.35%, 6/24/2040 | 500 | 356 |
| &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040 | 500 | 374 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1267 |
| **Road & Rail — 0.4%** | **Road & Rail — 0.4%** | **Road & Rail — 0.4%** |
| &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC 5.75%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp; Hertz Corp. (The) 6.25%, 10/15/2022 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; Norfolk Southern Corp. 3.15%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp; Union Pacific Corp. 3.38%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 214 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 956 |
| **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** |
| &nbsp;&nbsp;&nbsp; Broadcom, Inc. 3.14%, 11/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 556 |
| &nbsp;&nbsp;&nbsp; QUALCOMM, Inc. 2.15%, 5/20/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 426 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 982 |
| **Software — 1.1%** | **Software — 1.1%** | **Software — 1.1%** |
| &nbsp;&nbsp;&nbsp; Intuit, Inc. 1.35%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp; Microsoft Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/3/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.68%, 6/1/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp; Oracle Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 11/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp; ServiceNow, Inc. 1.40%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2449 |
| **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** |
| &nbsp;&nbsp;&nbsp; AutoNation, Inc. 2.40%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; Home Depot, Inc. (The) 3.90%, 6/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295 |
| &nbsp;&nbsp;&nbsp; Staples, Inc. 7.50%, 4/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 134 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 797 |
| **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;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 5/11/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 2/8/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 678 |
| **Tobacco — 0.4%** | **Tobacco — 0.4%** | **Tobacco — 0.4%** |
| &nbsp;&nbsp;&nbsp; Altria Group, Inc. 3.88%, 9/16/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 272 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **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;&nbsp;&nbsp;&nbsp;&nbsp; 3.56%, 8/15/2027 | 250 | 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.73%, 3/25/2031 | 400 | 315 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 815 |
| **Wireless Telecommunication Services — 0.6%** | **Wireless Telecommunication Services — 0.6%** | **Wireless Telecommunication Services — 0.6%** |
| &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 2/15/2026 | 500 | 448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 2/15/2031 | 1000 | 829 |
| &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) 4.88%, 6/19/2049 | 250 | 213 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $127,732)<br>|  | 112007 |
| **Mortgage-Backed Securities — 34.5%** | **Mortgage-Backed Securities — 34.5%** | **Mortgage-Backed Securities — 34.5%** |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year Pool # G30450, 6.00%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C80364, 7.00%, 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00464, 8.00%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C80409, 8.00%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # D78618, 7.50%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02125, 6.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A53165, 6.00%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A56599, 6.00%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G08205, 6.00%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03362, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03819, 6.00%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G08276, 6.00%, 6/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A80908, 6.00%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 505614, 6.50%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 508677, 6.50%, 8/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 520792, 6.50%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787555, 6.50%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787556, 7.00%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787563, 6.50%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787564, 7.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 924041, 6.00%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY3845, 4.00%, 5/1/2045 | &nbsp;&nbsp;&nbsp; 1241 | &nbsp;&nbsp;&nbsp;&nbsp; 1205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY8492, 4.00%, 6/1/2045 | &nbsp;&nbsp;&nbsp; 1334 | &nbsp;&nbsp;&nbsp;&nbsp; 1317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AZ0913, 4.00%, 6/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 775 |
| &nbsp;&nbsp;&nbsp; FNMA/FHLMC UMBS, Single Family, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.50%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp; 2350 | &nbsp;&nbsp;&nbsp;&nbsp; 2258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 2.50%, 12/25/2037 (f) | &nbsp;&nbsp;&nbsp; 3150 | &nbsp;&nbsp;&nbsp;&nbsp; 2910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.00%, 12/25/2037 (f) | &nbsp;&nbsp;&nbsp; 2350 | &nbsp;&nbsp;&nbsp;&nbsp; 2211 |
| &nbsp;&nbsp;&nbsp; FNMA/FHLMC UMBS, Single Family, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 2.50%, 12/25/2052 (f) | 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 8554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.00%, 12/25/2052 (f) | 20500 | &nbsp;&nbsp; 18142 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.50%, 12/25/2052 (f) | 7500 | 6865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 4.00%, 12/25/2052 (f) | 6000 | 5674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 4.50%, 12/25/2052 (f) | 2200 | 2141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 5.50%, 12/25/2052 (f) | 5143 | 5201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 6.00%, 12/25/2052 (f) | 3786 | 3871 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year Pool # 550851, 7.00%, 9/15/2031 | 52 | 53 |
| &nbsp;&nbsp;&nbsp; GNMA II, Single Family, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.00%, 12/15/2051 (f) | 2800 | 2529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 4.00%, 12/15/2051 (f) | 2650 | 2529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 2.50%, 12/15/2052 (f) | 3000 | 2636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.50%, 12/15/2052 (f) | 4000 | 3713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 5.50%, 12/15/2052 (f) | 6000 | 6071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $77,201)<br>|  | &nbsp;&nbsp; 79033 |
| **U.S. Treasury Obligations — 7.3%** | **U.S. Treasury Obligations — 7.3%** | **U.S. Treasury Obligations — 7.3%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 2/15/2036 | &nbsp;&nbsp;&nbsp; 5850 | &nbsp;&nbsp;&nbsp;&nbsp; 6382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 8/15/2040 | &nbsp;&nbsp;&nbsp; 4050 | &nbsp;&nbsp;&nbsp;&nbsp; 2572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 8/15/2041 | &nbsp;&nbsp;&nbsp; 4850 | &nbsp;&nbsp;&nbsp;&nbsp; 3384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 5/15/2050 | &nbsp;&nbsp;&nbsp; 3150 | &nbsp;&nbsp;&nbsp;&nbsp; 1757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 8/15/2050 | &nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 2595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $23,919)<br>|  | &nbsp;&nbsp; 16690 |
| **Asset-Backed Securities — 3.0%** | **Asset-Backed Securities — 3.0%** | **Asset-Backed Securities — 3.0%** |
| &nbsp;&nbsp;&nbsp; American Airlines Pass-Through Trust Series 2017-1, Class AA, 3.65%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329 |
| &nbsp;&nbsp;&nbsp; Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-R3, Class M8, 6.17%, 5/25/2035 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp; Carrington Mortgage Loan Trust Series 2006-NC5, Class A3, 4.19%, 1/25/2037 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 861 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 717 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust Series 2007-AMC1, Class A1, 4.20%, 12/25/2036 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp; Credit-Based Asset Servicing and Securitization LLC Series 2006-CB8, Class A1, 4.32%, 10/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; CWABS Asset-Backed Certificates Trust Series 2007-2, Class 2A3, 4.18%, 8/25/2037 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M1, 4.79%, 3/25/2034 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M2, 4.87%, 3/25/2034 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 3A, 4.60%, 4/25/2034 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; FBR Securitization Trust Series 2005-2, Class M2, 4.79%, 9/25/2035 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp; First Franklin Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF8, Class M1, 4.42%, 7/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF14, Class A5, 4.20%, 10/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp; Fremont Home Loan Trust Series 2005-1, Class M6, 5.20%, 6/25/2035 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp; GSAA Home Equity Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A2, 4.48%, 1/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-19, Class A2, 4.40%, 12/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4, Class A1, 4.24%, 3/25/2037 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class AF4A, 6.48%, 3/25/2037 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp; 302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class 1A2, 4.40%, 7/25/2037 (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; GSAMP Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-NC1, Class M2, 5.14%, 2/25/2035 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-WMC1, Class M1, 4.78%, 9/25/2035 ‡ (g) | 35 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FM1, Class A1, 4.36%, 4/25/2036 ‡ (g) | 133 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE3, Class A2C, 4.36%, 5/25/2046 (g) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A2C, 4.19%, 3/25/2047 ‡ (g) | 89 | 84 |
| &nbsp;&nbsp;&nbsp; Mastr Asset-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class A2, 4.26%, 11/25/2036 ‡ (g) | 68 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class A3, 4.34%, 11/25/2036 ‡ (g) | 88 | 28 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5, Class 1A, 4.89%, 10/25/2037 ‡ (g) | 1519 | 954 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust Series 2006-MLN1, Class A2C, 4.38%, 7/25/2037 ‡ (g) | 1252 | 560 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital I, Inc. Trust Series 2007-HE7, Class A2B, 5.04%, 7/25/2037 ‡ (g) | 28 | 27 |
| &nbsp;&nbsp;&nbsp; Nationstar Home Equity Loan Trust Series 2007-B, Class M1, 4.45%, 4/25/2037 ‡ (g) | 263 | 233 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class M1, 4.72%, 3/25/2035 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class M6, 5.24%, 3/25/2035 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp; NovaStar Mortgage Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class A2C, 4.34%, 9/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class A2D, 4.54%, 9/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5, Class A2C, 4.38%, 11/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 409 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A1A, 4.17%, 3/25/2037 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp; Ownit Mortgage Loan Trust Series 2006-1, Class AV, 4.50%, 12/25/2035 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC3, Class A1, 4.32%, 9/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WM2, Class A2A, 4.36%, 9/25/2036 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 937 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 637 |
| &nbsp;&nbsp;&nbsp; Soundview Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NLC1, Class A1, 4.16%, 11/25/2036 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NLC1, Class A2, 4.28%, 11/25/2036 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NLC1, Class A3, 4.38%, 11/25/2036 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NLC1, Class A4, 4.52%, 11/25/2036 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OPT3, Class 2A3, 4.22%, 8/25/2037 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-GEL4, Class M1, 4.61%, 10/25/2036 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-BC5, Class A4, 4.38%, 12/25/2036 (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $8,468)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 6930 |
| **Collateralized Mortgage Obligations — 2.7%** | **Collateralized Mortgage Obligations — 2.7%** | **Collateralized Mortgage Obligations — 2.7%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust Series 2006-J2, Class A1, 4.54%, 4/25/2036 (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust Series 2020-1, Class B1, 3.76%, 12/25/2059 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust I LLC Series 2019-1, Class A2, 4.02%, 11/25/2048 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-B, Class 3M1, 4.61%, 4/20/2035 ‡ (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-R7, Class 1A1, 4.19%, 5/26/2036 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-R7, Class 2A1, 4.18%, 9/26/2036 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-R4, Class 5A1, 3.74%, 10/25/2036 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust Series 2007-3, Class 1A1, 6.00%, 9/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust Series 2007-5, Class A6, 4.39%, 5/25/2037 (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-10, Class 1A1, 3.49%, 11/25/2036 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-10, Class 4A1, 3.75%, 2/25/2037 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R02, Class 2B1, 7.02%, 1/25/2040 ‡ (a) (g) | 2599 | 2196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R01, Class 1B1, 7.27%, 1/25/2040 ‡ (a) (g) | 1251 | 1146 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) Series 2004-5, Class 4A1, 6.00%, 9/25/2034 | 59 | 56 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates Series 2003-29, Class 7A1, 6.50%, 12/25/2033 | 19 | 17 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 1A1, 4.54%, 2/25/2035 (g) | 3 | 3 |
| &nbsp;&nbsp;&nbsp; FHLMC STACR REMIC Trust Series 2020-HQA1, Class M2, 5.92%, 1/25/2050 (a) (g) | 506 | 496 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC Series 2980, Class QB, 6.50%, 5/15/2035 | 22 | 23 |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan Series 2003-W3, Class 2A5, 5.36%, 6/25/2042 | 11 | 11 |
| &nbsp;&nbsp;&nbsp; GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-NQM3, Class A1, 2.69%, 11/25/2059 (a) (g) | 218 | 202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-NQM1, Class A1, 2.25%, 1/25/2060 (a) (d) | 212 | 200 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust Series 2006-3F, Class 2A7, 5.75%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp; HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-9, Class 2A, 4.28%, 12/19/2034 (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-9, Class 2A1A, 4.36%, 11/19/2036 (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust Series 2005-1, Class 2A1, 4.55%, 4/25/2035 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust Series 2005-S2, Class 4A3, 5.50%, 9/25/2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust Series 2005-5, Class 3A1, 5.75%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp; Nomura Resecuritization Trust Series 2015-2R, Class 4A1, 2.88%, 12/26/2036 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; RALI Trust Series 2006-QS11, Class 1A1, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 282 |
| &nbsp;&nbsp;&nbsp; RBSSP Resecuritization Trust Series 2012-6, Class 10A2, 3.74%, 8/26/2036 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; RESI Finance LP (Cayman Islands) Series 2003-D, Class B3, 5.16%, 12/10/2035 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A15, Class 1A7, 6.00%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-R1, Class A2, 4.44%, 1/25/2046 (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; RFMSI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-S9, Class A1, 6.25%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SA4, Class 3A1, 4.85%, 10/25/2037 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262 |
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust Series 2019-INV1, Class A3, 2.92%, 9/27/2049 (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust Series 2019-HY2, Class A1, 5.04%, 5/25/2058 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 343 |
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust Series 2020-1, Class B1, 3.62%, 1/25/2060 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-7, Class 1A2, 4.49%, 9/25/2035 (g) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $6,912)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 6255 |
| **Foreign Government Securities — 0.4%** | **Foreign Government Securities — 0.4%** | **Foreign Government Securities — 0.4%** |
| &nbsp;&nbsp;&nbsp; State of Israel Government Bond 3.25%, 1/17/2028(Cost $996) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 943 |
| **U.S. Government Agency Securities — 0.4%** | **U.S. Government Agency Securities — 0.4%** | **U.S. Government Agency Securities — 0.4%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; FNMA <br>1.88%, 9/24/2026(Cost $1,050)<br>| &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 924 |
| **Loan Assignments — 0.3%** (b) (h) | **Loan Assignments — 0.3%** (b) (h) | **Loan Assignments — 0.3%** (b) (h) |
| **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** |
| &nbsp;&nbsp;&nbsp; UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 7.11%, 4/29/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Loan Assignments — continued** | **Loan Assignments — continued** | **Loan Assignments — continued** |
| **Specialty Retail — 0.2%** | **Specialty Retail — 0.2%** | **Specialty Retail — 0.2%** |
| &nbsp;&nbsp;&nbsp; Claire's Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 10.57%, 12/18/2026 (i) | 482 | 429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Loan Assignments <br>(Cost $571)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550 |
|  | **SHARES** <br>**(000)**<br>|  |
| **Convertible Preferred Stocks — 0.2%** | **Convertible Preferred Stocks — 0.2%** | **Convertible Preferred Stocks — 0.2%** |
| **Specialty Retail — 0.2%** | **Specialty Retail — 0.2%** | **Specialty Retail — 0.2%** |
| &nbsp;&nbsp;&nbsp; Claire's Stores, Inc. ‡ \*(Cost $54) |  | 428 |
| **Common Stocks — 0.2%** | **Common Stocks — 0.2%** | **Common Stocks — 0.2%** |
| **Internet & Direct Marketing Retail — 0.0% ^** | **Internet & Direct Marketing Retail — 0.0% ^** | **Internet & Direct Marketing Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; MYT Holding Co. ‡ \* | 49 | 14 |
| **Oil, Gas & Consumable Fuels — 0.0% ^** | **Oil, Gas & Consumable Fuels — 0.0% ^** | **Oil, Gas & Consumable Fuels — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Chesapeake Energy Corp. |  | 17 |
| **Pharmaceuticals — 0.0% ^** | **Pharmaceuticals — 0.0% ^** | **Pharmaceuticals — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Mallinckrodt plc \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| **Professional Services — 0.1%** | **Professional Services — 0.1%** | **Professional Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; NMG, Inc. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| **Specialty Retail — 0.0% ^** | **Specialty Retail — 0.0% ^** | **Specialty Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Claire's Stores, Inc. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| **Wireless Telecommunication Services — 0.1%** | **Wireless Telecommunication Services — 0.1%** | **Wireless Telecommunication Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Intelsat SA (Luxembourg) ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Common Stocks <br>(Cost $427)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346 |
|  | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>|  |
| **Commercial Mortgage-Backed Securities — 0.1%** | **Commercial Mortgage-Backed Securities — 0.1%** | **Commercial Mortgage-Backed Securities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust Series 2012-CR3, Class A3, 2.82%, 10/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp; Harvest Commercial Capital Loan Trust Series 2019-1, Class M4, 4.64%, 9/25/2046 ‡ (a) (g) | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $293)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278 |
|  | **SHARES** <br>**(000)**<br>|  |
| **Preferred Stocks — 0.1%** | **Preferred Stocks — 0.1%** | **Preferred Stocks — 0.1%** |
| **Internet & Direct Marketing Retail — 0.1%** | **Internet & Direct Marketing Retail — 0.1%** | **Internet & Direct Marketing Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡(Cost $81) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
|  | **NO. OF** <br> **WARRANTS** <br>**(000)**<br>|  |
| **Warrants — 0.0% ^** | **Warrants — 0.0% ^** | **Warrants — 0.0% ^** |
| **Media — 0.0% ^** | **Media — 0.0% ^** | **Media — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ \*(Cost $—) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| <br> **VALUE** <br>**($000)**<br>|
| **Convertible Bonds — 0.0% ^** | **Convertible Bonds — 0.0% ^** | **Convertible Bonds — 0.0% ^** |
| **Media — 0.0% ^** | **Media — 0.0% ^** | **Media — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; DISH Network Corp. 3.38%, 8/15/2026(Cost $22) | 25 | 16 |
|  | **NO. OF** <br> **RIGHTS** <br>**(000)**<br>|  |
| **Rights — 0.0% ^** | **Rights — 0.0% ^** | **Rights — 0.0% ^** |
| **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Intelsat Jackson Holdings SA, expiring 12/5/2025 (Luxembourg) ‡ \* (Cost $—) | 1 | &nbsp;&nbsp; — |
|  | **SHARES** <br>**(000)**<br>|  |
| **Short-Term Investments — 35.1%** | **Short-Term Investments — 35.1%** | **Short-Term Investments — 35.1%** |
| **Investment Companies — 34.8%** | **Investment Companies — 34.8%** | **Investment Companies — 34.8%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.50% (j) (k) <br>(Cost $79,548)<br>| 79548 | 79548 |
|  | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>|  |
| **U.S. Treasury Obligations — 0.3%** | **U.S. Treasury Obligations — 0.3%** | **U.S. Treasury Obligations — 0.3%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bills, 3.51%, 12/15/2022 (l) (m)(Cost $700) | &nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short-Term Investments <br>(Cost $80,248)<br>|  | &nbsp;&nbsp; 80248 |
| **Total Investments — 133.2%** <br>**(Cost $327,974)**<br>|  | **304780** |
| **Liabilities in Excess of Other Assets — (33.2)%** |  | **(75885)** |
| **NET ASSETS — 100.0%** |  | **228895** |

---

&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 |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| ICE | Intercontinental Exchange |
| LIBOR | London Interbank Offered Rate |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced; Security is subject to delayed delivery. |
| UMBS | Uniform Mortgage-Backed Securities |
| USD | United States Dollar |

---

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

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| \* | Non-income producing security.  |
| (a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2022. |
| (c) | Defaulted security. |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) 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, 2022.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) 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;(g) 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, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) 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;(i) Fund is subject to legal or contractual restrictions on the resale of the security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) 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;(k) The rate shown is the current yield as of November 30, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) The rate shown is the effective yield as of November 30, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m) All or a portion of this security is deposited with the broker as initial margin for futures contracts.

**TBA Short Commitment**

------

---

| | | |
|:---|:---|:---|
| **SECURITY DESCRIPTION** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 5.00%, 12/25/2052(a) | (5386) | (5362) |
| (Proceeds received of $5,348) |  | (5362) |

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| TBA | To Be Announced; Security is subject to delayed delivery. |
| UMBS | Uniform Mortgage-Backed Securities |

---

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

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

**Futures contracts outstanding as of November 30, 2022 (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 | 97 | 03/22/2023 | USD | 11038 | &nbsp;&nbsp; 95 |
| U.S. Treasury Ultra Bond | 38 | 03/22/2023 | USD | &nbsp;&nbsp; 5214 | 101 |
| U.S. Treasury 5 Year Note | 45 | 03/31/2023 | USD | &nbsp;&nbsp; 4896 | &nbsp;&nbsp; 36 |
|  |  |  |  |  | 232 |
| **Short Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | (2) | 03/22/2023 | USD | &nbsp;&nbsp;&nbsp; (228) | &nbsp;&nbsp;&nbsp; (2) |
| U.S. Treasury 2 Year Note | (4) | 03/31/2023 | USD | &nbsp;&nbsp;&nbsp; (822) | &nbsp;&nbsp;&nbsp; (3) |
| U.S. Treasury 5 Year Note | (1) | 03/31/2023 | USD | &nbsp;&nbsp;&nbsp; (109) | &nbsp;&nbsp;&nbsp; (1) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp; (6) |
|  |  |  |  |  | 226 |

---

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

---

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

---

**Forward foreign currency exchange contracts outstanding as of November 30, 2022 (amounts in thousands):**

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CURRENCY** <br>**PURCHASED** | **CURRENCY** <br>**PURCHASED** | &nbsp;&nbsp;&nbsp; **CURRENCY** <br>**SOLD** | &nbsp;&nbsp;&nbsp; **CURRENCY** <br>**SOLD** | **COUNTERPARTY** | &nbsp;&nbsp;&nbsp; **SETTLEMENT** <br>**DATE**<br>| &nbsp;&nbsp; **UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| EUR | 140 | USD | 140 | HSBC Bank, NA | 12/13/2022 | &nbsp;&nbsp;&nbsp; 5 |
| USD | 141 | EUR | 140 | HSBC Bank, NA | 12/13/2022 | &nbsp;&nbsp; (5) |
| Net unrealized appreciation | Net unrealized appreciation | Net unrealized appreciation | Net unrealized appreciation | Net unrealized appreciation | Net unrealized appreciation | —(a) |

---

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

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

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

---

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

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

**Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection** <sup>(\*)</sup> **as of November 30, 2022 (amounts in thousands):**

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **REFERENCE** <br>**OBLIGATION/INDEX**<br>| **FINANCING** <br>**RATE PAID** <br>**BY THE FUND** <br>**(%)**<br>| &nbsp;&nbsp; **PAYMENT** <br>**FREQUENCY**<br>| **COUNTERPARTY** | &nbsp;&nbsp; **MATURITY** <br>**DATE**<br>| **IMPLIED** <br>**CREDIT** <br>**SPREAD** <br>**(%)**<sup>(a)</sup> <br>| **NOTIONAL** <br>**AMOUNT**<sup>(b)</sup> <br>| **UPFRONT** <br>**PAYMENTS** <br>**(RECEIPTS)** <br>**($)**<sup>(c)</sup> <br>| **UNREALIZED** <br>**APPRECIATION** <br>**(DEPRECIATION)** <br>**($)**<br>| **VALUE** <br>**($)**<br>|
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Bank of America NA | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 60 | &nbsp;&nbsp; 11 | &nbsp;&nbsp; (11) | —(d) |
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Bank of America NA | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 40 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; (7) | —(d) |
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Barclays Bank plc | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 60 | &nbsp;&nbsp; 18 | &nbsp;&nbsp; (18) | —(d) |
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Credit Suisse International | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 30 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; (8) | —(d) |
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Credit Suisse International | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 60 | &nbsp;&nbsp; 15 | &nbsp;&nbsp; (15) | —(d) |
| CMBX.NA.A.6 | 2.00 | Monthly | Barclays Bank plc | 5/11/2063 | 83.30 | USD 80 | &nbsp;&nbsp;&nbsp; (1) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp; 5 |
| CMBX.NA.A.6 | 2.00 | Monthly | Citibank, NA | 5/11/2063 | 83.30 | USD 90 | &nbsp;&nbsp;&nbsp; (1) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp; 5 |
| CMBX.NA.A.6 | 2.00 | Monthly | Goldman Sachs International | 5/11/2063 | 83.30 | USD 90 | &nbsp;&nbsp;&nbsp; (1) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp; 6 |
| CMBX.NA.A.6 | 2.00 | Monthly | Goldman Sachs International | 5/11/2063 | 83.30 | USD 90 | &nbsp;&nbsp;&nbsp; (1) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp; 6 |
| CMBX.NA.A.6 | 2.00 | Monthly | Morgan Stanley | 5/11/2063 | 83.30 | USD 80 | &nbsp;&nbsp;&nbsp; (1) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp; 5 |
| CMBX.NA.BBB-.4 | 5.00 | Monthly | Citibank, NA | 2/17/2051 | 70.00 | USD 180 | 153 | (153) | —(d) |
| CMBX.NA.BBB-.4 | 5.00 | Monthly | Citibank, NA | 2/17/2051 | 70.00 | USD 210 | 168 | (168) | —(d) |
|  |  |  |  |  |  |  | 375 | (348) | 27 |

---

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

---

| | |
|:---|:---|
| (\*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium <br> to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to <br> an underlying reference obligation, as defined under the terms of individual swap contracts. |
| (a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to <br> make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which <br> may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated <br> to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of <br> greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying <br> reference obligations included in a particular index. |
| (b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, <br> upon occurrence of a credit event. |
| (c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between <br> the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).  |
| (d) | Amount rounds to less than one thousand. |
| **Abbreviations** |  |
| ABX | Asset-Backed Securities Index |
| CMBX | Commercial Mortgage-Backed Securities Index |
| USD | United States Dollar |

---

**Centrally Cleared Credit default swap contracts outstanding - buy protection**<sup>(\*)</sup> **as of November 30, 2022 (amounts in thousands):**

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **REFERENCE** <br>**OBLIGATION/INDEX**<br>| **FINANCING** <br>**RATE PAID** <br>**BY THE FUND** <br>**(%)**<br>| &nbsp;&nbsp; **PAYMENT** <br>**FREQUENCY**<br>| &nbsp;&nbsp; **MATURITY** <br>**DATE**<br>| **IMPLIED** <br>**CREDIT** <br>**SPREAD** <br>**(%)**<sup>(a)</sup> <br>| **NOTIONAL** <br>**AMOUNT**<sup>(b)</sup> <br>| **UPFRONT** <br>**PAYMENTS** <br>**(RECEIPTS)** <br>**($)**<sup>(c)</sup> <br>| **UNREALIZED** <br>**APPRECIATION** <br>**(DEPRECIATION)** <br>**($)**<br>| **VALUE** <br>**($)**<br>|
| CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.79 | USD 550 | 17 | &nbsp;&nbsp; (33) | &nbsp;&nbsp; (16) |
| CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.79 | USD 1,800 | 55 | (107) | &nbsp;&nbsp; (52) |
| CDX.NA.IG.38-V1 | 1.00 | Quarterly | 6/20/2027 | 0.73 | USD 3,543 | (20) | &nbsp;&nbsp; (34) | &nbsp;&nbsp; (54) |
| CDX.NA.IG.39-V1 | 1.00 | Quarterly | 12/20/2027 | 0.80 | USD 5,650 | (21) | &nbsp;&nbsp; (52) | &nbsp;&nbsp; (73) |
| iTraxx.Europe.Main.38-V1 | 1.00 | Quarterly | 12/20/2027 | 0.90 | EUR 1,900 | 21 | &nbsp;&nbsp; (33) | &nbsp;&nbsp; (12) |
|  |  |  |  |  |  | 52 | (259) | (207) |

---

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

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | |
|:---|:---|
| (\*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from <br> the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference <br> obligation, as defined under the terms of individual swap contracts. |
| (a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to <br> make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which <br> may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated <br> to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts, are also indicative of <br> greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying <br> reference obligations included in a particular index. |
| (b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, <br> upon occurrence of a credit event. |
| (c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between <br> the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| CDX | Credit Default Swap Index |
| EUR | Euro |
| USD | United States Dollar |

---

**Summary of total OTC swap contracts outstanding as of November 30, 2022 (amounts in thousands):**

------

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; **NET UPFRONT** <br>**PAYMENTS** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(RECEIPTS)** <br>**($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($)**<br>|
| **Assets** |  |  |
| OTC Credit default swap contracts outstanding - buy protection | 375 | 27 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(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 SEC 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.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values ("NAV") of the Fund is calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with foreign equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.

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

Futures contracts are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

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, 2022.

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.

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(Dollar values in thousands)

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

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &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 | $— | $375 | $6555 | $6930 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2287 | &nbsp;&nbsp;&nbsp;&nbsp; 3968 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6255 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278 |
| Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Internet & Direct Marketing Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; Pharmaceuticals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; Professional Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp; Total Common Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346 |
| Convertible Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| Convertible Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428 |
| Corporate Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Aerospace & Defense | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2111 |
| &nbsp;&nbsp;&nbsp; Air Freight & Logistics | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 629 |
| &nbsp;&nbsp;&nbsp; Airlines | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 |
| &nbsp;&nbsp;&nbsp; Auto Components | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp; Automobiles | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1414 |
| &nbsp;&nbsp;&nbsp; Banks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 24863 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 24863 |
| &nbsp;&nbsp;&nbsp; Beverages | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1855 |
| &nbsp;&nbsp;&nbsp; Biotechnology | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 804 |
| &nbsp;&nbsp;&nbsp; Building Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1774 |
| &nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10706 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10706 |
| &nbsp;&nbsp;&nbsp; Chemicals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1505 |
| &nbsp;&nbsp;&nbsp; Commercial Services & Supplies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702 |
| &nbsp;&nbsp;&nbsp; Construction & Engineering | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp; Consumer Finance | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6552 |
| &nbsp;&nbsp;&nbsp; Containers & Packaging | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550 |
| &nbsp;&nbsp;&nbsp; Diversified Financial Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1586 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1586 |
| &nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3069 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3069 |
| &nbsp;&nbsp;&nbsp; Electric Utilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4614 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4614 |
| &nbsp;&nbsp;&nbsp; Energy Equipment & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; Entertainment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; Equity Real Estate Investment Trusts (REITs) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1740 |
| &nbsp;&nbsp;&nbsp; Food & Staples Retailing | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2215 |
| &nbsp;&nbsp;&nbsp; Food Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1344 |
| &nbsp;&nbsp;&nbsp; Gas Utilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7493 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7493 |
| &nbsp;&nbsp;&nbsp; Health Care Equipment & Supplies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1214 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(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; Health Care Providers & Services | $— | $3060 | $— | $3060 |
| &nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp; Household Durables | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 833 |
| &nbsp;&nbsp;&nbsp; Household Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; Industrial Conglomerates | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 418 |
| &nbsp;&nbsp;&nbsp; Insurance | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5861 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5861 |
| &nbsp;&nbsp;&nbsp; Interactive Media & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp; Internet & Direct Marketing Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1171 |
| &nbsp;&nbsp;&nbsp; IT Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2336 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2336 |
| &nbsp;&nbsp;&nbsp; Life Sciences Tools & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 703 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 703 |
| &nbsp;&nbsp;&nbsp; Machinery | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2091 |
| &nbsp;&nbsp;&nbsp; Multiline Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568 |
| &nbsp;&nbsp;&nbsp; Multi-Utilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1431 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5530 |
| &nbsp;&nbsp;&nbsp; Personal Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp; Pharmaceuticals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1267 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1267 |
| &nbsp;&nbsp;&nbsp; Road & Rail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 956 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 956 |
| &nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 982 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 982 |
| &nbsp;&nbsp;&nbsp; Software | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2449 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2449 |
| &nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 797 |
| &nbsp;&nbsp;&nbsp; Technology Hardware, Storage & Peripherals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp; Tobacco | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 815 |
| &nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1490 |
| &nbsp;&nbsp;&nbsp; Total Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 112004 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 112007 |
| Foreign Government Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 943 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 943 |
| Loan Assignments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 79033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 79033 |
| Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| Rights | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) |
| U.S. Government Agency Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 924 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16690 |
| Warrants | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp; 79548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 79548 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 |
| Total Short-Term Investments | &nbsp;&nbsp; 79548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 80248 |
| **Total Investments in Securities** | $79568 | $213670 | $11542 | $304780 |
| **Liabilities** |  |  |  |  |
| TBA Short Commitment | $— | $(5362) | $— | $(5362) |
| **Total Liabilities in Securities Sold Short** | $— | $(5362) | $— | $(5362) |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Forward Foreign Currency Exchange Contracts | $— | $5 | $— | $5 |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(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** |
| **Depreciation in Other Financial Instruments** |  |  |  |  |
| Forward Foreign Currency Exchange Contracts | $— | $(5) | $— | $(5) |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6) |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (639) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (639) |
| **Total Net Appreciation/ Depreciation in Other** <br>**Financial Instruments**<br>| $226 | $(607) | $— | $(381) |

---

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

(a) Amount rounds to less than one thousand.

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>**2022**<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>**2022**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $9660 | $1 | $(1228) | $99 | $—(b) | $(1609) | $150 | $(58) | $(460) | $6555 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp; 8289 | &nbsp;&nbsp;&nbsp;&nbsp; (32) | &nbsp;&nbsp;&nbsp;&nbsp; (369) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; — | &nbsp;&nbsp; (5567) | &nbsp;&nbsp; 1185 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp;&nbsp;&nbsp; 3968 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 886 | &nbsp;&nbsp;&nbsp;&nbsp; (22) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; —(b) | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (745) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp; Common Stocks | &nbsp;&nbsp;&nbsp;&nbsp; 1264 | &nbsp;&nbsp;&nbsp; 725 | &nbsp;&nbsp;&nbsp;&nbsp; (840) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (910) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp; Convertible Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(b) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; (198) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (68) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp; Rights | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(b) |
| &nbsp;&nbsp;&nbsp; Warrants | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| **Total** | $20707 | $474 | $(2274) | $101 | $7 | $(8837) | $1422 | $(58) | $— | $11542 |

---

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

 <br> <sup>1</sup> Purchases include all purchases of securities and securities received in corporate actions. <br> <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 Asset-Backed Securities, Collateralized Mortgage Obligations.

&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, 2022, which were valued using significant unobservable inputs (level 3) amounted to $(1,176). This amount is included in Change in net unrealized appreciation/ depreciation on investments in non-affiliates on the Statements of Operations.

Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the period ended November 30, 2022.

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 #** 

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| | | | |
|:---|:---|:---|:---|
| **Fair Value at** <br>**November 30, 2022**<br>| **Valuation Technique(s)** | **Unobservable Input** | &nbsp;&nbsp; **Range (Weighted** <br>**Average) (a)**<br>|
| $6555 | Discounted Cash Flow | 2.00% - 20.00% (7.02%) |  |
|  |  | 1.28% - 7.19% (2.67%) |  |
|  |  | 5.70% - 8.68% (7.05%) |  |

---

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(Dollar values in thousands)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at**<br> **November 30, 2022**<br>| **Valuation Technique(s)** | **Unobservable Input** | &nbsp;&nbsp; **Range (Weighted**<br> **Average) (a)**<br>|
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp;&nbsp; 6555 |  |  |  |
|  | &nbsp;&nbsp;&nbsp; 3968 | Discounted Cash Flow | 10.00% - 22.29% (10.64%) |  |
|  |  |  | 0.00% - 6.10% (0.15%) |  |
|  |  |  | 5.99% - 12.22% (10.71%) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br>Obligations<br>| &nbsp;&nbsp;&nbsp; 3968 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 130 | Discounted Cash Flow | 100.00% (100.00%) |  |
|  |  |  | 8.12% (8.12%) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage- <br>Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 130 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; -(b) | Pending Distribution | $0.01 ($0.01) |  |
| &nbsp;&nbsp;&nbsp; Corporate Bond | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; -(b) |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | $10653 |  |  |  |

---

&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, 2022, the value of these investments was $889. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. 

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

(b) Amount rounds to less than one thousand.

**B. Investment Transactions with Affiliates** — The Fund invested in an Underlying Fund, which is 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, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2022**<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>**2022**<br>| **Shares at** <br>**November 30,** <br>**2022**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market <br> Fund Class Institutional Shares, 3.50% <br> (a) (b)<br>| $105188 | $55266 | $80906 | $— | $— | $79548 | 79548 | $1018 | $— |

---

&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, 2022.

**C. Derivatives** — The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties' failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value.

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements ("ISDA agreements"). The Fund's ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g.,

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(Dollar values in thousands)

decline in a counterparty's credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.

Notes (1) — (3) below describe the various derivatives used by the Fund.

**(1). Futures Contracts** — The Fund used currency, index, interest rate, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund's exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation on futures contracts. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.

The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, which could effectively prevent liquidation of positions.

The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

**(2). Forward Foreign Currency Exchange Contracts—** The Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.

The Fund's forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).

The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

**(3). Swaps —** The Fund engaged in various swap transactions to manage credit, interest rate (e.g., duration, yield curve), currency, inflation and total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter ("OTC swaps") between the Fund and a counterparty or are centrally cleared ("centrally cleared swaps") through a central clearinghouse managed by a Futures Commission Merchant ("FCM") that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as

------

**JPMorgan Total Return Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(Dollar values in thousands)

initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on swaps. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund's outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund's custodian bank.

The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.

The Fund's swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.

<u>Credit Default Swaps</u>

The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.

The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.

Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.

If a credit event occurs, the Fund, as a protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund's portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.

------

## 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 I

- **b. Investment Company Act file number:** 811-21295

- **c. CIK number of Registrant:** 0001217286

- **d. LEI of Registrant:** 549300DM5WZMCZZ70R78

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

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

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

- **a. Name of Series:** JPMorgan Total Return Fund

- **b. EDGAR series identifier (if any):** S000022843

- **c. LEI of Series:** JNRX6CZTC9XNF0A0PZ50

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

- **a. Date of fiscal year-end:** 2023-02-28

- **b. Date as of which information is reported:** 2022-11-30

**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:** $324184810.41

**Total Liabilities:** $90723463.64

**Net Assets:** $233461346.77

**Cash Not Reported:** $114953.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -5501.83394000 | **1-Year:** 6426.18717000 | **5-Year:** 23879.08576000 | **10-Year:** 50217.13513000 | **30-Year:** 18747.94504000

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

- **3-Month:** -5.94867000 | **1-Year:** 183.46681000 | **5-Year:** 1755.11680000 | **10-Year:** 3960.89685000 | **30-Year:** 395.70289000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000066240 | -4.55%               | -1.51%               | 3.76%                |
| Class ID C000066242 | -4.52%               | -1.49%               | 3.77%                |
| Class ID C000066239 | -4.53%               | -1.50%               | 3.76%                |
| Class ID C000138091 | -4.52%               | -1.60%               | 3.78%                |
| Class ID C000066241 | -4.61%               | -1.57%               | 3.60%                |
| Class ID C000138090 | -4.58%               | -1.55%               | 3.71%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2854980.62             | $-8308083.88                               |
| Month 2  | $-3479503.02             | $2546.98                                   |
| Month 3  | $-989372.79              | $8473783.40                                |

**Designated Index Information**

- **Index Name:** U.S. Aggregate

- **Index Identifier:** 1TRUSD0

### Schedule of Portfolio Investments

| Name                                                                        | Title                                                                                                 | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                                        | GNMA II, Single Family, 30 Year                                                                       | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3713125.00   | 1.59%             | 2052-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     80000 | PA      | $6089.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Korea Development Bank (The)                                                | Korea Development Bank (The)                                                                          | CUSIP: 500630CU0<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | USGA              | KR        |    750000 | PA      | $746992.50    | 0.32%             | 2023-03-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                          | Banco Santander SA                                                                                    | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $397867.52    | 0.17%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA I, 30 Year                                                                                       | CUSIP: 36213C5L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51747 | PA      | $53348.45     | 0.02%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp.                                                              | DISH DBS Corp.                                                                                        | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    293000 | PA      | $278426.18    | 0.12%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                 | Capital One Financial Corp.                                                                           | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $470922.57    | 0.20%             | 2027-05-11      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 31383KVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       388 | PA      | $399.72       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                                          | General Motors Co.                                                                                    | CUSIP: 37045VAS9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    500000 | PA      | $480301.28    | 0.21%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NMG, Inc.                                                                   | NMG, Inc.                                                                                             | CUSIP: 62929P102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        81 | NS      | $14377.50     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                             | NovaStar Mortgage Funding Trust, Series 2006-5, Class A2C                                             | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409497 | PA      | $137578.39    | 0.06%             | 2036-11-25      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| Protective Life Global Funding                                              | Protective Life Global Funding                                                                        | CUSIP: 74368CAY0<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $383736.98    | 0.16%             | 2030-09-21      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Nabors Industries Ltd.                                                      | Nabors Industries Ltd.                                                                                | CUSIP: 629571AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     15000 | PA      | $14418.75     | 0.01%             | 2026-01-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Apple, Inc.                                                                 | Apple, Inc.                                                                                           | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    500000 | PA      | $345665.22    | 0.15%             | 2050-05-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2007-OPT3, Class 2A3                                                | CUSIP: 83612KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102103 | PA      | $96806.66     | 0.04%             | 2037-08-25      | Floating      | 4.22%                 | No            |                  3 | On Loan: No      |
| N/A                                                                         | Nmg Research Ltd.                                                                                     | CUSIP: 62929P110<br>LEI: N/A                  | N/A              | DO               |  | GB        |       949 | NS      | $41917.33     | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 31412FS61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106910 | PA      | $112484.64    | 0.05%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                      | Residential Asset Securitization Trust, Series 2005-A15, Class 1A7                                    | CUSIP: 45660L3N7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75750 | PA      | $69038.62     | 0.03%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                              | Takeda Pharmaceutical Co. Ltd.                                                                        | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $373908.20    | 0.16%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                            | Boeing Co. (The)                                                                                      | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    500000 | PA      | $369464.33    | 0.16%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2141218.75   | 0.92%             | 2052-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 3128M5B74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39714 | PA      | $41828.93     | 0.02%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                                                  | TransCanada PipeLines Ltd.                                                                            | CUSIP: 893526DJ9<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    345000 | PA      | $352986.64    | 0.15%             | 2040-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                                 | Aetna, Inc.                                                                                           | CUSIP: 00817YAQ1<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    500000 | PA      | $487451.54    | 0.21%             | 2024-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                                         | Amcor Flexibles North America, Inc.                                                                   | CUSIP: 081437AS4<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    500000 | PA      | $466212.29    | 0.20%             | 2026-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 2980, Class QB                                                                   | CUSIP: 31395UEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21557 | PA      | $22868.69     | 0.01%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                                      | Home Depot, Inc. (The)                                                                                | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    350000 | PA      | $295410.73    | 0.13%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 31405E5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4294 | PA      | $4421.75      | 0.00%             | 2035-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                                       | New England Power Co.                                                                                 | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    500000 | PA      | $376567.80    | 0.16%             | 2047-12-05      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                         | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 1A1                         | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2953 | PA      | $2808.22      | 0.00%             | 2035-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                             | DR Horton, Inc.                                                                                       | CUSIP: 23331ABP3<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $833406.94    | 0.36%             | 2027-10-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ServiceNow, Inc.                                                            | ServiceNow, Inc.                                                                                      | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    250000 | PA      | $194747.00    | 0.08%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 15 Year                                                               | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $2910291.11   | 1.25%             | 2037-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   5650000 | PA      | $-51879.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1                                       | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2599000 | PA      | $2196524.84   | 0.94%             | 2040-01-25      | Floating      | 7.02%                 | Yes           |                  3 | On Loan: No      |
| Ownit Mortgage Loan Trust                                                   | Ownit Mortgage Loan Trust, Series 2006-1, Class AV                                                    | CUSIP: 69121PDB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4159 | PA      | $4141.35      | 0.00%             | 2035-12-25      | Floating      | 4.50%                 | No            |                  3 | On Loan: No      |
| Union Pacific Corp.                                                         | Union Pacific Corp.                                                                                   | CUSIP: 907818EB0<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    250000 | PA      | $214293.32    | 0.09%             | 2035-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                        | Mitsubishi UFJ Financial Group, Inc.                                                                  | CUSIP: 606822CC6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    750000 | PA      | $662220.31    | 0.28%             | 2028-01-19      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2006-FM1, Class A1                                                                | CUSIP: 362334PF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132954 | PA      | $93232.45     | 0.04%             | 2036-04-25      | Floating      | 4.36%                 | No            |                  3 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                              | Lehman Brothers Holdings, Inc.                                                                        | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |    850000 | PA      | $2975.00      | 0.00%             | 2049-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Rite Aid Corp.                                                              | Rite Aid Corp.                                                                                        | CUSIP: 767754CL6<br>LEI: 529900W353T1JY1DKT44 | Long             | DBT              | CORP              | US        |     20000 | PA      | $12443.80     | 0.01%             | 2026-11-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                            | Amazon.com, Inc.                                                                                      | CUSIP: 023135AP1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    800000 | PA      | $814434.98    | 0.35%             | 2034-12-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single Family, 30 Year                                                                       | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2650000 | PA      | $2529404.28   | 1.08%             | 2052-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                      | Merrill Lynch Mortgage Investors Trust, Series 2006-MLN1, Class A2C                                   | CUSIP: 59023AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1252404 | PA      | $559949.31    | 0.24%             | 2037-07-25      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| FedEx Corp.                                                                 | FedEx Corp.                                                                                           | CUSIP: 31428XBB1<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    500000 | PA      | $391385.56    | 0.17%             | 2045-02-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CRH America Finance, Inc.                                                   | CRH America Finance, Inc.                                                                             | CUSIP: 12636YAA0<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233530.57    | 0.10%             | 2027-05-09      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     60000 | PA      | $-17665.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Envision Healthcare Corp.                                                   | Envision Healthcare Corp.                                                                             | CUSIP: 29373TAA2<br>LEI: 549300OL60X0LPKY8N60 | Long             | DBT              | CORP              | US        |     25000 | PA      | $7250.00      | 0.00%             | 2026-10-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2007-SA4, Class 3A1                                                               | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364927 | PA      | $262101.60    | 0.11%             | 2037-10-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2006-NLC1, Class A1                                                 | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72764 | PA      | $20207.42     | 0.01%             | 2036-11-25      | Floating      | 4.16%                 | Yes           |                  3 | On Loan: No      |
| Hyundai Capital America                                                     | Hyundai Capital America                                                                               | CUSIP: 44891ABF3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $933783.87    | 0.40%             | 2025-02-10      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Coca-Cola Co. (The)                                                         | Coca-Cola Co. (The)                                                                                   | CUSIP: 191216CV0<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    500000 | PA      | $411672.44    | 0.18%             | 2030-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Hartford Financial Services Group, Inc. (The)                               | Hartford Financial Services Group, Inc. (The)                                                         | CUSIP: 416515BE3<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    500000 | PA      | $428429.91    | 0.18%             | 2029-08-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                                      | Keurig Dr Pepper, Inc.                                                                                | CUSIP: 26138EAS8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483445.62    | 0.21%             | 2025-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Chubb INA Holdings, Inc.                                                    | Chubb INA Holdings, Inc.                                                                              | CUSIP: 00440EAS6<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483291.15    | 0.21%             | 2025-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2007-7, Class 1A2                                                      | CUSIP: 36249BAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32714 | PA      | $30440.45     | 0.01%             | 2037-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| International Business Machines Corp.                                       | International Business Machines Corp.                                                                 | CUSIP: 459200KB6<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    400000 | PA      | $350671.14    | 0.15%             | 2039-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                             | Live Nation Entertainment, Inc.                                                                       | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     24000 | PA      | $24045.43     | 0.01%             | 2027-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Kroger Co. (The)                                                            | Kroger Co. (The)                                                                                      | CUSIP: 501044DP3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $816332.96    | 0.35%             | 2030-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 3128MJGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       445 | PA      | $468.84       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                             | Sumitomo Mitsui Trust Bank Ltd.                                                                       | CUSIP: 86563VAQ2<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $965453.91    | 0.41%             | 2023-09-12      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| Ameriprise Financial, Inc.                                                  | Ameriprise Financial, Inc.                                                                            | CUSIP: 03076CAK2<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $960262.56    | 0.41%             | 2025-04-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                                 | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $523679.95    | 0.22%             | 2030-07-23      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                              | Public Service Co. of Colorado                                                                        | CUSIP: 744448CV1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    500000 | PA      | $400474.41    | 0.17%             | 2031-06-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp.                                                     | Chesapeake Energy Corp.                                                                               | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |       160 | NS      | $16560.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   1800000 | PA      | $-107086.48   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                          | Canadian Imperial Bank of Commerce                                                                    | CUSIP: 13607HVE9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $439987.81    | 0.19%             | 2026-06-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     90000 | PA      | $7056.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                       | Sumitomo Mitsui Financial Group, Inc.                                                                 | CUSIP: 86562MAY6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $463015.22    | 0.20%             | 2028-01-17      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2014-10, Class 1A1                                              | CUSIP: 17323FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12844 | PA      | $12537.26     | 0.01%             | 2036-11-25      | Floating      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                           | Merck & Co., Inc.                                                                                     | CUSIP: 58933YBA2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    500000 | PA      | $356573.12    | 0.15%             | 2040-06-24      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                          | Energy Transfer LP                                                                                    | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    300000 | PA      | $256252.83    | 0.11%             | 2045-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Mallinckrodt International Finance SA                                       | Mallinckrodt International Finance SA                                                                 | CUSIP: 561233AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      7000 | PA      | $3587.50      | 0.00%             | 2029-06-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 2 Year Note                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -4 | NC      | $-2890.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MYT Holding Co.                                                             | MYT Holding Co.                                                                                       | CUSIP: 55406N103<br>LEI: 549300853MX08B1AUK51 | Long             | EC               | CORP              | US        |     48807 | NS      | $14007.61     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Truist Bank                                                                 | Truist Bank                                                                                           | CUSIP: 86787EAV9<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    750000 | PA      | $747522.70    | 0.32%             | 2023-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                       | Westpac Banking Corp.                                                                                 | CUSIP: 961214EJ8<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1000000 | PA      | $997218.36    | 0.43%             | 2023-01-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund                                  | JPMorgan U.S. Government Money Market Fund, Class Institutional                                       | CUSIP: 4812C2684<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |  79548146 | NS      | $79548145.59  | 34.07%            |  |  |  | No            |                  1 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2006-1, Class A2                                                       | CUSIP: 362341Z36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168815 | PA      | $54891.72     | 0.02%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  3 | On Loan: No      |
| Shell International Finance BV                                              | Shell International Finance BV                                                                        | CUSIP: 822582CD2<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $657542.51    | 0.28%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Carrier Global Corp.                                                        | Carrier Global Corp.                                                                                  | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $417897.41    | 0.18%             | 2031-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     60000 | PA      | $-11569.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                          | Altria Group, Inc.                                                                                    | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    400000 | PA      | $272437.63    | 0.12%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                        | American Airlines Pass-Through Trust, Series 2017-1, Class AA                                         | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366875 | PA      | $329307.50    | 0.14%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA                                                                                                  | CUSIP: 3135G0Q22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1000000 | PA      | $924399.56    | 0.40%             | 2026-09-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International plc                                          | Johnson Controls International plc                                                                    | CUSIP: 478375AU2<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | IE        |    350000 | PA      | $291036.19    | 0.12%             | 2047-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $6864843.75   | 2.94%             | 2052-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 31384DRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2498 | PA      | $2572.64      | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                              | Carrington Mortgage Loan Trust, Series 2006-NC5, Class A3                                             | CUSIP: 144539AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860802 | PA      | $716584.94    | 0.31%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  3 | On Loan: No      |
| American Tower Corp.                                                        | American Tower Corp.                                                                                  | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    250000 | PA      | $165229.97    | 0.07%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6236000 | PA      | $6306792.13   | 2.70%             | 2052-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Willis North America, Inc.                                                  | Willis North America, Inc.                                                                            | CUSIP: 970648AF8<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    500000 | PA      | $486215.90    | 0.21%             | 2024-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2015-R4, Class 5A1                                              | CUSIP: 05990RAP6<br>LEI: 549300R847L762RQF071 | Long             | ABS-MBS          | CORP              | US        |     73566 | PA      | $72597.04     | 0.03%             | 2036-10-25      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5497.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2006-WM2, Class A2A                            | CUSIP: 81376GAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    937434 | PA      | $637466.32    | 0.27%             | 2036-09-25      | Floating      | 4.36%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Group AG                                                      | Credit Suisse Group AG                                                                                | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $399365.51    | 0.17%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| FBR Securitization Trust                                                    | FBR Securitization Trust, Series 2005-2, Class M2                                                     | CUSIP: 30246QAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60016 | PA      | $59668.05     | 0.03%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                             | NovaStar Mortgage Funding Trust, Series 2006-4, Class A2C                                             | CUSIP: 66988XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120954 | PA      | $51417.98     | 0.02%             | 2036-09-25      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| Fremont Home Loan Trust                                                     | Fremont Home Loan Trust, Series 2005-1, Class M6                                                      | CUSIP: 35729PJG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261000 | PA      | $200172.12    | 0.09%             | 2035-06-25      | Floating      | 5.20%                 | No            |                  3 | On Loan: No      |
| United States of America                                                    | U.S. Treasury Bonds                                                                                   | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3150000 | PA      | $1757109.38   | 0.75%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                                 | Apple, Inc.                                                                                           | CUSIP: 037833EG1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    500000 | PA      | $332433.22    | 0.14%             | 2061-02-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                      | Truist Financial Corp.                                                                                | CUSIP: 89788MAC6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    500000 | PA      | $422212.16    | 0.18%             | 2027-08-03      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| RESI Finance LP                                                             | RESI Finance LP, Series 2003-D, Class B3                                                              | CUSIP: 74951PCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     13426 | PA      | $1656.53      | 0.00%             | 2035-12-10      | Floating      | 5.16%                 | Yes           |                  3 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                    | Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE7, Class A2B                                  | CUSIP: 61756YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27670 | PA      | $26631.49     | 0.01%             | 2037-07-25      | Floating      | 5.04%                 | No            |                  3 | On Loan: No      |
| Chesapeake Energy Corp.                                                     | Chesapeake Energy Corp., Escrow                                                                       | CUSIP: 165ESCAC8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    130000 | PA      | $2925.00      | 0.00%             | 2026-09-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley                                                              | Morgan Stanley                                                                                        | CUSIP: 6174468Y8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $322641.01    | 0.14%             | 2052-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                       | CWABS Asset-Backed Certificates Trust, Series 2007-2, Class 2A3                                       | CUSIP: 12668NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36799 | PA      | $35893.47     | 0.02%             | 2037-08-25      | Floating      | 4.18%                 | No            |                  3 | On Loan: No      |
| Intelsat SA                                                                 | Intelsat SA                                                                                           | CUSIP: N/A<br>LEI: 549300YV2L21F4K80V46       | Long             | EC               | CORP              | LU        |      5432 | NS      | $138516.00    | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| Crestwood Midstream Partners LP                                             | Crestwood Midstream Partners LP                                                                       | CUSIP: 226373AQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $56458.10     | 0.02%             | 2027-05-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                              | 7-Eleven, Inc.                                                                                        | CUSIP: 817826AC4<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $877547.26    | 0.38%             | 2026-02-10      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Masco Corp.                                                                 | Masco Corp.                                                                                           | CUSIP: 574599BS4<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $831571.99    | 0.36%             | 2028-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R3, Class M8 | CUSIP: 03072SA62<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282000 | PA      | $234943.22    | 0.10%             | 2035-05-25      | Floating      | 6.17%                 | No            |                  3 | On Loan: No      |
| Oracle Corp.                                                                | Oracle Corp.                                                                                          | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    500000 | PA      | $429094.79    | 0.18%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Gulf Power Co.                                                              | Gulf Power Co., Series A                                                                              | CUSIP: 402479CF4<br>LEI: BLVY3B5CY5IDPCFLQ577 | Long             | DBT              | CORP              | US        |    500000 | PA      | $470730.41    | 0.20%             | 2027-05-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                        | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-5, Class 4A1                        | CUSIP: 22541SZL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59269 | PA      | $56004.63     | 0.02%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DISH Network Corp.                                                          | DISH Network Corp.                                                                                    | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     25000 | PA      | $16187.50     | 0.01%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.                                | Fidelity National Information Services, Inc.                                                          | CUSIP: 31620MBR6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    500000 | PA      | $441069.97    | 0.19%             | 2026-03-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                           | HSBC Holdings plc                                                                                     | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $622415.90    | 0.27%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Frontier Communications Holdings LLC                                        | Frontier Communications Holdings LLC                                                                  | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17175 | PA      | $13709.17     | 0.01%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 31292GQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       197 | PA      | $199.68       | 0.00%             | 2026-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2014-R7, Class 1A1                                              | CUSIP: 05963SAA0<br>LEI: 549300UKLRORHBR16839 | Long             | ABS-MBS          | CORP              | US        |      5328 | PA      | $5294.48      | 0.00%             | 2036-05-26      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                            | Deutsche Bank AG                                                                                      | CUSIP: 251526BR9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $994679.06    | 0.43%             | 2023-02-27      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                            | Boeing Co. (The)                                                                                      | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $992454.40    | 0.43%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2006-FF8, Class M1                                         | CUSIP: 320278AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    304757 | PA      | $277096.10    | 0.12%             | 2036-07-25      | Floating      | 4.42%                 | No            |                  3 | On Loan: No      |
| United Parcel Service, Inc.                                                 | United Parcel Service, Inc.                                                                           | CUSIP: 911312BS4<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    300000 | PA      | $237545.75    | 0.10%             | 2049-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Intuit, Inc.                                                                | Intuit, Inc.                                                                                          | CUSIP: 46124HAC0<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $435148.93    | 0.19%             | 2027-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| MASTR Asset-Backed Securities Trust                                         | MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A2                                        | CUSIP: 576449AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68434 | PA      | $21738.14     | 0.01%             | 2036-11-25      | Floating      | 4.26%                 | No            |                  3 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                          | National Rural Utilities Cooperative Finance Corp.                                                    | CUSIP: 63743HEW8<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    750000 | PA      | $663506.51    | 0.28%             | 2026-06-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                                | Verizon Communications, Inc.                                                                          | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $782103.70    | 0.34%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                  | GCAT Trust, Series 2019-NQM3, Class A1                                                                | CUSIP: 36167VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218016 | PA      | $201815.88    | 0.09%             | 2059-11-25      | Variable      | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Claire's Stores, Inc.                                                       | Claire's Stores, Inc.                                                                                 | CUSIP: N/A<br>LEI: 549300N5HNYXI6JY7625       | Long             | EC               | CORP              | US        |       249 | NS      | $80925.00     | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| Commercial Mortgage Trust                                                   | Commercial Mortgage Trust, Series 2012-CR3, Class A3                                                  | CUSIP: 12624PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150913 | PA      | $147894.97    | 0.06%             | 2045-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                             | NovaStar Mortgage Funding Trust, Series 2007-1, Class A1A                                             | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218592 | PA      | $142300.38    | 0.06%             | 2037-03-25      | Floating      | 4.17%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 3138YHHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1241499 | PA      | $1205081.28   | 0.52%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings SA                                                | Intelsat Jackson Holdings SA                                                                          | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    392000 | PA      | $360640.00    | 0.15%             | 2030-03-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 10 Year Note                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        92 | NC      | $93963.00     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Impac CMB Trust                                                             | Impac CMB Trust, Series 2005-1, Class 2A1                                                             | CUSIP: 45254NMN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105871 | PA      | $96928.79     | 0.04%             | 2035-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 31335GN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       102 | PA      | $103.89       | 0.00%             | 2026-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                | RBSSP Resecuritization Trust, Series 2012-6, Class 10A2                                               | CUSIP: 74931TBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15461 | PA      | $15350.27     | 0.01%             | 2036-08-26      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    550000 | PA      | $-32720.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RALI Trust                                                                  | RALI Trust, Series 2006-QS11, Class 1A1                                                               | CUSIP: 75115EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359369 | PA      | $282159.98    | 0.12%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Agilent Technologies, Inc.                                                  | Agilent Technologies, Inc.                                                                            | CUSIP: 00846UAK7<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |    750000 | PA      | $703220.17    | 0.30%             | 2026-09-22      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2006-NLC1, Class A3                                                 | CUSIP: 83611DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69999 | PA      | $19441.32     | 0.01%             | 2036-11-25      | Floating      | 4.38%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single Family, 30 Year                                                                       | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2636250.03   | 1.13%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2006-NLC1, Class A2                                                 | CUSIP: 83611DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    897563 | PA      | $249298.82    | 0.11%             | 2036-11-25      | Floating      | 4.28%                 | Yes           |                  3 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 15 Year                                                               | CUSIP: 01F0324C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2350000 | PA      | $2257652.33   | 0.97%             | 2037-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust, Series 2019-HY2, Class A1                                                  | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348650 | PA      | $343344.93    | 0.15%             | 2058-05-25      | Floating      | 5.04%                 | Yes           |                  3 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                                               | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    500000 | PA      | $446308.45    | 0.19%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Estee Lauder Cos., Inc. (The)                                               | Estee Lauder Cos., Inc. (The)                                                                         | CUSIP: 29736RAR1<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |    500000 | PA      | $405813.99    | 0.17%             | 2031-03-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                            | Burlington Northern Santa Fe LLC                                                                      | CUSIP: 12189LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $266639.30    | 0.11%             | 2040-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Vail Resorts, Inc.                                                          | Vail Resorts, Inc.                                                                                    | CUSIP: 91879QAL3<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11987.52     | 0.01%             | 2025-05-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Kellogg Co.                                                                 | Kellogg Co.                                                                                           | CUSIP: 487836BU1<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |    500000 | PA      | $469323.91    | 0.20%             | 2027-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                          | T-Mobile USA, Inc.                                                                                    | CUSIP: 87264ABZ7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    500000 | PA      | $447990.52    | 0.19%             | 2026-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   3543000 | PA      | $-33676.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     60000 | PA      | $-15099.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                                               | Honeywell International, Inc.                                                                         | CUSIP: 438516BZ8<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    500000 | PA      | $418088.78    | 0.18%             | 2030-06-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                         | Societe Generale SA                                                                                   | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $384600.15    | 0.16%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                          | Metropolitan Life Global Funding I                                                                    | CUSIP: 59217GEJ4<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    750000 | PA      | $677980.09    | 0.29%             | 2025-07-02      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                             | NovaStar Mortgage Funding Trust, Series 2006-4, Class A2D                                             | CUSIP: 66988XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12652 | PA      | $5378.12      | 0.00%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                | Mizuho Financial Group, Inc.                                                                          | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    750000 | PA      | $648782.96    | 0.28%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     30000 | PA      | $-8280.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                | Mizuho Financial Group, Inc.                                                                          | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $419991.60    | 0.18%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                              | BNP Paribas SA                                                                                        | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $394686.53    | 0.17%             | 2032-04-19      | Variable      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                              | Southern Co. Gas Capital Corp., Series 20-A                                                           | CUSIP: 8426EPAD0<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    750000 | PA      | $574935.80    | 0.25%             | 2031-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                          | New Century Home Equity Loan Trust, Series 2005-1, Class M1                                           | CUSIP: 64352VKA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146804 | PA      | $145643.88    | 0.06%             | 2035-03-25      | Floating      | 4.72%                 | No            |                  3 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2005-WMC1, Class M1                                                               | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34986 | PA      | $33847.92     | 0.01%             | 2035-09-25      | Floating      | 4.78%                 | No            |                  3 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5673515.58   | 2.43%             | 2052-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                            | Amazon.com, Inc.                                                                                      | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    400000 | PA      | $356356.69    | 0.15%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                  | Verus Securitization Trust, Series 2020-1, Class B1                                                   | CUSIP: 92536PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102000 | PA      | $65626.91     | 0.03%             | 2060-01-25      | Variable      | 3.62%                 | Yes           |                  3 | On Loan: No      |
| Kohl's Corp.                                                                | Kohl's Corp.                                                                                          | CUSIP: 500255AX2<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $354295.00    | 0.15%             | 2031-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ONE Gas, Inc.                                                               | ONE Gas, Inc.                                                                                         | CUSIP: 68235PAL2<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1284620.09   | 0.55%             | 2024-03-11      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse USA, Inc.                                                     | Credit Suisse USA, Inc.                                                                               | CUSIP: 22541LAE3<br>LEI: EXD7DEVFDH4HOFFQ7349 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298752.56    | 0.13%             | 2032-07-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PayPal Holdings, Inc.                                                       | PayPal Holdings, Inc.                                                                                 | CUSIP: 70450YAE3<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    750000 | PA      | $656869.16    | 0.28%             | 2029-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2014-10, Class 4A1                                              | CUSIP: 17323FAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26969 | PA      | $25779.66     | 0.01%             | 2037-02-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2006-NLC1, Class A4                                                 | CUSIP: 83611DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    393460 | PA      | $109272.17    | 0.05%             | 2036-11-25      | Floating      | 4.52%                 | Yes           |                  3 | On Loan: No      |
| New Century Home Equity Loan Trust                                          | New Century Home Equity Loan Trust, Series 2005-1, Class M6                                           | CUSIP: 64352VKF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253849 | PA      | $226918.19    | 0.10%             | 2035-03-25      | Floating      | 5.24%                 | No            |                  3 | On Loan: No      |
| Wells Fargo & Co.                                                           | Wells Fargo & Co.                                                                                     | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    750000 | PA      | $736440.69    | 0.32%             | 2024-06-02      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                               | Comcast Corp.                                                                                         | CUSIP: 20030NBP5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    400000 | PA      | $377875.17    | 0.16%             | 2035-08-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                                | AbbVie, Inc.                                                                                          | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    250000 | PA      | $214969.90    | 0.09%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                                   | Consolidated Edison Co. of New York, Inc.                                                             | CUSIP: 209111FD0<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    250000 | PA      | $218245.35    | 0.09%             | 2044-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                                                    | Reliance Industries Ltd.                                                                              | CUSIP: 759470AQ0<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    500000 | PA      | $484000.00    | 0.21%             | 2025-01-28      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Johnson & Johnson                                                           | Johnson & Johnson                                                                                     | CUSIP: 478160CT9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    500000 | PA      | $322010.86    | 0.14%             | 2060-09-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                      | CVS Pass-Through Trust                                                                                | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    478657 | PA      | $500680.11    | 0.21%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 3128MJJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7795 | PA      | $8152.99      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA Trust, Whole Loan, Series 2003-W3, Class 2A5                                                     | CUSIP: 31392JYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10532 | PA      | $10565.82     | 0.00%             | 2042-06-25      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                              | BNP Paribas SA                                                                                        | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $459184.50    | 0.20%             | 2026-06-09      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                        | Mitsubishi UFJ Financial Group, Inc.                                                                  | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $395359.74    | 0.17%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 312927AH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103953 | PA      | $107613.56    | 0.05%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                           | NatWest Group plc                                                                                     | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $486516.45    | 0.21%             | 2025-03-22      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc., Asset-Backed Certificates                                      | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M2                                        | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26687 | PA      | $26280.40     | 0.01%             | 2034-03-25      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| Eversource Energy                                                           | Eversource Energy, Series M                                                                           | CUSIP: 30040WAE8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    500000 | PA      | $460286.93    | 0.20%             | 2028-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2006-FF14, Class A5                                        | CUSIP: 32027LAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139918 | PA      | $135863.78    | 0.06%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  3 | On Loan: No      |
| Target Corp.                                                                | Target Corp.                                                                                          | CUSIP: 87612EBJ4<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |    250000 | PA      | $213971.47    | 0.09%             | 2030-02-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                   | HCA, Inc.                                                                                             | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $390490.21    | 0.17%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp., Series N                                                                       | CUSIP: 06051GJN0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $220172.02    | 0.09%             | 2052-03-13      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                           | Hertz Corp. (The), Escrow                                                                             | CUSIP: 428ESCAA5<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    290000 | PA      | $8700.00      | 0.00%             | 2022-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Staples, Inc.                                                               | Staples, Inc.                                                                                         | CUSIP: 855030AN2<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    150000 | PA      | $133820.25    | 0.06%             | 2026-04-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                               | Six Flags Entertainment Corp.                                                                         | CUSIP: 83001AAB8<br>LEI: 549300JYTDUAA4JQ3717 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34021.23     | 0.01%             | 2024-07-31      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                           | Clarios Global LP                                                                                     | CUSIP: 18060TAA3<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | CA        |     14000 | PA      | $13991.07     | 0.01%             | 2025-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                       | Westpac Banking Corp.                                                                                 | CUSIP: 961214EL3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    500000 | PA      | $436726.98    | 0.19%             | 2030-01-16      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                      | Mauser Packaging Solutions Holding Co.                                                                | CUSIP: 12429TAD6<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     85000 | PA      | $83837.32     | 0.04%             | 2024-04-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                                    | Lloyds Banking Group plc                                                                              | CUSIP: 53944YAN3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $975883.38    | 0.42%             | 2024-05-11      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                            | CVS Health Corp.                                                                                      | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    250000 | PA      | $232163.94    | 0.10%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                            | Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-5, Class 1A                             | CUSIP: 59025RAW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1518703 | PA      | $953536.60    | 0.41%             | 2037-10-25      | Floating      | 4.89%                 | No            |                  3 | On Loan: No      |
| Vodafone Group plc                                                          | Vodafone Group plc                                                                                    | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $213164.24    | 0.09%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                            | Deutsche Bank AG                                                                                      | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $922538.89    | 0.40%             | 2025-04-01      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 20 Year                                                                             | CUSIP: 3128CUQB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2848 | PA      | $2915.32      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                                     | Quest Diagnostics, Inc.                                                                               | CUSIP: 74834LAX8<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483246.08    | 0.21%             | 2025-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings SA                                                | Intelsat Jackson Holdings SA                                                                          | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             |  | CORP              | LU        |       568 | NS      | $5.68         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Xcel Energy, Inc.                                                           | Xcel Energy, Inc.                                                                                     | CUSIP: 98389BAU4<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    500000 | PA      | $474054.31    | 0.20%             | 2026-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                 | Capital One Financial Corp.                                                                           | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $364329.77    | 0.16%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                       | Nomura Holdings, Inc.                                                                                 | CUSIP: 65535HAQ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $417328.91    | 0.18%             | 2030-01-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                                            | Credit Suisse AG                                                                                      | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $959767.59    | 0.41%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                            | Deutsche Bank AG                                                                                      | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    500000 | PA      | $479700.93    | 0.21%             | 2024-09-18      | Variable      | 2.22%                 | No            |                  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        |      9678 | PA      | $8567.66      | 0.00%             | 2034-04-25      | Floating      | 4.60%                 | No            |                  3 | On Loan: No      |
| Airbus SE                                                                   | Airbus SE                                                                                             | CUSIP: 009279AA8<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $233622.44    | 0.10%             | 2027-04-10      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Conagra Brands, Inc.                                                        | Conagra Brands, Inc.                                                                                  | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    500000 | PA      | $488261.68    | 0.21%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2014-R7, Class 2A1                                              | CUSIP: 05963SAD4<br>LEI: 549300UKLRORHBR16839 | Long             | ABS-MBS          | CORP              | US        |      7381 | PA      | $7266.85      | 0.00%             | 2036-09-26      | Floating      | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2006-NC3, Class A1                             | CUSIP: 81377CAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86962 | PA      | $54741.33     | 0.02%             | 2036-09-25      | Floating      | 4.32%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 31405E5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11755 | PA      | $11767.72     | 0.01%             | 2035-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NMG, Inc.                                                                   | NMG, Inc.                                                                                             | CUSIP: 62929P102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       446 | NS      | $79165.00     | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    210000 | PA      | $-167846.74   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| John Deere Capital Corp.                                                    | John Deere Capital Corp.                                                                              | CUSIP: 24422EVN6<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    750000 | PA      | $715922.18    | 0.31%             | 2024-01-17      | Fixed         | 0.45%                 | 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        |     32469 | PA      | $31364.10     | 0.01%             | 2034-03-25      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                        | Siemens Financieringsmaatschappij NV                                                                  | CUSIP: 82620KAT0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $265175.55    | 0.11%             | 2047-03-16      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 10 Year Note                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $-1754.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                   | Ford Motor Credit Co. LLC                                                                             | CUSIP: 345397YG2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $488140.00    | 0.21%             | 2024-01-09      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                     | GSR Mortgage Loan Trust, Series 2006-3F, Class 2A7                                                    | CUSIP: 362334JV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55973 | PA      | $55042.02     | 0.02%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                               | Comcast Corp.                                                                                         | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    323000 | PA      | $209366.34    | 0.09%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     80000 | PA      | $6142.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     90000 | PA      | $6809.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                                            | UFC Holdings LLC, 1st Lien Term Loan B-3                                                              | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    122703 | PA      | $120471.44    | 0.05%             | 2026-04-29      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                      | Waste Management, Inc.                                                                                | CUSIP: 94106LBE8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    750000 | PA      | $701806.43    | 0.30%             | 2027-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                            | BP Capital Markets America, Inc.                                                                      | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    250000 | PA      | $170765.39    | 0.07%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Chevron USA, Inc.                                                           | Chevron USA, Inc.                                                                                     | CUSIP: 166756AE6<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    500000 | PA      | $453027.96    | 0.19%             | 2025-08-12      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| Mastercard, Inc.                                                            | Mastercard, Inc.                                                                                      | CUSIP: 57636QAL8<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    500000 | PA      | $419493.67    | 0.18%             | 2049-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Wesco Aircraft Holdings, Inc.                                               | Wesco Aircraft Holdings, Inc.                                                                         | CUSIP: 97789LAB2<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |     50000 | PA      | $31750.00     | 0.01%             | 2026-11-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                                  | AerCap Ireland Capital DAC                                                                            | CUSIP: 00774MAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    500000 | PA      | $498492.77    | 0.21%             | 2023-01-23      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| United States of America                                                    | U.S. Treasury Bonds                                                                                   | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $2595234.38   | 1.11%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                              | Morgan Stanley                                                                                        | CUSIP: 61744YAL2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $425690.46    | 0.18%             | 2038-07-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                      | Residential Asset Securitization Trust, Series 2006-R1, Class A2                                      | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | PA      | $0.43         | 0.00%             | 2046-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                                | Barclays plc                                                                                          | CUSIP: 06738EBR5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $381913.03    | 0.16%             | 2032-03-10      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Principal Life Global Funding II                                            | Principal Life Global Funding II                                                                      | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    750000 | PA      | $681616.24    | 0.29%             | 2025-06-23      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                               | Comcast Corp.                                                                                         | CUSIP: 20030NDQ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    500000 | PA      | $296333.73    | 0.13%             | 2062-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                               | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -4879000 | PA      | $-4857654.38  | -2.08%            | 2052-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 3128M5SG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5980 | PA      | $6264.51      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4545.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 3138YSAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780304 | PA      | $774944.18    | 0.33%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Venator Finance SARL                                                        | Venator Finance SARL                                                                                  | CUSIP: 9226ALAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $18312.50     | 0.01%             | 2025-07-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Stryker Corp.                                                               | Stryker Corp.                                                                                         | CUSIP: 863667BA8<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    250000 | PA      | $228754.78    | 0.10%             | 2025-06-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                           | HSBC Holdings plc                                                                                     | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $906557.04    | 0.39%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2006-HE3, Class A2C                                                               | CUSIP: 36244KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1305 | PA      | $1300.79      | 0.00%             | 2046-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                           | Alabama Power Co.                                                                                     | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    300000 | PA      | $235144.79    | 0.10%             | 2045-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                            | Cooper-Standard Automotive, Inc.                                                                      | CUSIP: 216762AF1<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |     35000 | PA      | $14633.76     | 0.01%             | 2026-11-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                                                | Barclays plc                                                                                          | CUSIP: 06738EAE5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $476920.12    | 0.20%             | 2025-03-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                | Oracle Corp.                                                                                          | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    300000 | PA      | $237580.71    | 0.10%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury Ultra Bond                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        35 | NC      | $99454.25     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single Family, 30 Year                                                                       | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $6071159.88   | 2.60%             | 2052-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                              | Banc of America Mortgage Trust, Series 2007-3, Class 1A1                                              | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43407 | PA      | $37051.20     | 0.02%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 31383PCN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3798 | PA      | $3911.08      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                           | Wells Fargo & Co.                                                                                     | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $445407.19    | 0.19%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC                                                            | CCO Holdings LLC                                                                                      | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $336003.95    | 0.14%             | 2027-05-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| High Ridge Partners                                                         | High Ridge Partners, Escrow                                                                           | CUSIP: 429ESCAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41000 | PA      | $0.00         | 0.00%             | 2025-03-15      | Fixed         | 8.88%                 | No            |                  3 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                         | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1                        | CUSIP: 1248P1AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73545 | PA      | $66559.50     | 0.03%             | 2036-10-25      | Floating      | 4.32%                 | No            |                  3 | On Loan: No      |
| Boston Properties LP                                                        | Boston Properties LP                                                                                  | CUSIP: 10112RAY0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    500000 | PA      | $453638.91    | 0.19%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Trust                                           | Nationstar Home Equity Loan Trust, Series 2007-B, Class M1                                            | CUSIP: 63860LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263000 | PA      | $233403.45    | 0.10%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  3 | On Loan: No      |
| PPG Industries, Inc.                                                        | PPG Industries, Inc.                                                                                  | CUSIP: 693506BN6<br>LEI: 549300BKPEP01R3V6C59 | Long             | DBT              | CORP              | US        |    750000 | PA      | $743916.08    | 0.32%             | 2023-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single Family, 30 Year                                                                       | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2800000 | PA      | $2528609.61   | 1.08%             | 2052-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                    | UnitedHealth Group, Inc.                                                                              | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $472109.88    | 0.20%             | 2045-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 3128LXLE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1502 | PA      | $1579.52      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                                 | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $437293.01    | 0.19%             | 2038-04-24      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp., Series L                                                                       | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $488658.33    | 0.21%             | 2025-04-21      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                         | Public Service Electric and Gas Co.                                                                   | CUSIP: 74456QBS4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    500000 | PA      | $467390.02    | 0.20%             | 2027-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                                | Discovery Communications LLC                                                                          | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $440183.19    | 0.19%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                              | Lehman Brothers Holdings, Inc.                                                                        | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |   1350000 | PA      | $4725.00      | 0.00%             | 2009-08-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                                                    | Marathon Petroleum Corp.                                                                              | CUSIP: 56585AAG7<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $975250.45    | 0.42%             | 2024-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                            | Boeing Co. (The)                                                                                      | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $272704.62    | 0.12%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2007-AMC1, Class A1                                             | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315730 | PA      | $175491.43    | 0.08%             | 2036-12-25      | Floating      | 4.20%                 | Yes           |                  3 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                       | Harvest Commercial Capital Loan Trust, Series 2019-1, Class M4                                        | CUSIP: 41753CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $129518.92    | 0.06%             | 2046-09-25      | Variable      | 4.64%                 | Yes           |                  3 | On Loan: No      |
| Citigroup, Inc.                                                             | Citigroup, Inc.                                                                                       | CUSIP: 172967LJ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    300000 | PA      | $253198.34    | 0.11%             | 2048-04-24      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Chevron Phillips Chemical Co. LLC                                           | Chevron Phillips Chemical Co. LLC                                                                     | CUSIP: 166754AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $742406.21    | 0.32%             | 2023-05-01      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Phillips 66                                                                 | Phillips 66                                                                                           | CUSIP: 718546AK0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    250000 | PA      | $236768.90    | 0.10%             | 2034-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                              | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 7A1                             | CUSIP: 22541Q4D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18533 | PA      | $17032.51     | 0.01%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                                              | QUALCOMM, Inc.                                                                                        | CUSIP: 747525BK8<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    500000 | PA      | $426024.24    | 0.18%             | 2030-05-20      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Bausch Health Americas, Inc.                                                | Bausch Health Americas, Inc.                                                                          | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |    325000 | PA      | $210744.13    | 0.09%             | 2026-04-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     40000 | PA      | $-7404.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                    | U.S. Treasury Bonds                                                                                   | CUSIP: 912810FT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5850000 | PA      | $6381298.81   | 2.73%             | 2036-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings SA                                                | Intelsat Jackson Holdings SA                                                                          | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             |  | CORP              | LU        |       568 | NS      | $5.68         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 3128KKKL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4199 | PA      | $4366.24      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2006-S9, Class A1                                                                 | CUSIP: 749577AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73302 | PA      | $58060.86     | 0.02%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust, Series 2006-9, Class 2A1A                                             | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32005 | PA      | $25952.05     | 0.01%             | 2036-11-19      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                                     | JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3                                                    | CUSIP: 466247VQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73043 | PA      | $48550.47     | 0.02%             | 2020-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2007-4, Class A1                                                       | CUSIP: 3622EBAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48085 | PA      | $14463.03     | 0.01%             | 2037-03-25      | Floating      | 4.24%                 | No            |                  3 | On Loan: No      |
| United States of America                                                    | U.S. Treasury Bills                                                                                   | CUSIP: 912796X79<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    701000 | PA      | $700145.36    | 0.30%             | 2022-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                      | Norfolk Southern Corp.                                                                                | CUSIP: 655844BT4<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    500000 | PA      | $466363.99    | 0.20%             | 2027-06-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Visa, Inc.                                                                  | Visa, Inc.                                                                                            | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    500000 | PA      | $468121.96    | 0.20%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                                    | Cooperatieve Rabobank UA                                                                              | CUSIP: 74977RDK7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $650010.05    | 0.28%             | 2027-02-24      | Variable      | 1.11%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC                                              | Angel Oak Mortgage Trust I LLC, Series 2019-1, Class A2                                               | CUSIP: 03464MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4085 | PA      | $4059.19      | 0.00%             | 2048-11-25      | Variable      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                         | Societe Generale SA                                                                                   | CUSIP: 83368RAX0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $904878.92    | 0.39%             | 2025-07-08      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Rite Aid Corp.                                                              | Rite Aid Corp.                                                                                        | CUSIP: 767754CK8<br>LEI: 529900W353T1JY1DKT44 | Long             | DBT              | CORP              | US        |     11000 | PA      | $8264.24      | 0.00%             | 2025-07-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 31405E5Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32680 | PA      | $34146.07     | 0.01%             | 2035-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                | ING Groep NV                                                                                          | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $441341.72    | 0.19%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                             | CHL Mortgage Pass-Through Trust, Series 2007-5, Class A6                                              | CUSIP: 12544VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10600 | PA      | $4313.64      | 0.00%             | 2037-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                                   | Williams Cos., Inc. (The)                                                                             | CUSIP: 96949LAB1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    500000 | PA      | $487473.69    | 0.21%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                               | Comcast Corp.                                                                                         | CUSIP: 20030NCA7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    500000 | PA      | $465413.66    | 0.20%             | 2028-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Six Flags Theme Parks, Inc.                                                 | Six Flags Theme Parks, Inc.                                                                           | CUSIP: 83001WAC8<br>LEI: 5493003MX0ZXTM8EVY68 | Long             | DBT              | CORP              | US        |      8000 | PA      | $8019.81      | 0.00%             | 2025-07-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2007-2, Class AF4A                                                     | CUSIP: 3622EUAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302399 | PA      | $90812.07     | 0.04%             | 2037-03-25      | Variable      | 6.48%                 | No            |                  3 | On Loan: No      |
| Claire's Stores, Inc.                                                       | Claire's Stores, Inc., 1st Lien Term Loan B                                                           | CUSIP: 17958DAL1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    482307 | PA      | $429253.58    | 0.18%             | 2026-12-18      | Variable      | 10.57%                | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                  | AT&T, Inc.                                                                                            | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $701408.84    | 0.30%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   1900000 | PA      | $-32744.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                           | HSBC Holdings plc                                                                                     | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $381527.05    | 0.16%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| AutoNation, Inc.                                                            | AutoNation, Inc.                                                                                      | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $367494.97    | 0.16%             | 2031-08-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals, Inc.                                             | Regeneron Pharmaceuticals, Inc.                                                                       | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    750000 | PA      | $589261.21    | 0.25%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                         | Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3                                       | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116513 | PA      | $110576.66    | 0.05%             | 2049-09-27      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 31405E5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5847 | PA      | $5819.78      | 0.00%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                          | Crown Castle, Inc.                                                                                    | CUSIP: 22822VAS0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $910050.36    | 0.39%             | 2025-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Spectrum Brands, Inc.                                                       | Spectrum Brands, Inc.                                                                                 | CUSIP: 84762LAU9<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7874.56      | 0.00%             | 2025-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                           | Wells Fargo & Co.                                                                                     | CUSIP: 94974BGH7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $481288.75    | 0.21%             | 2025-02-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2005-B, Class 3M1                                               | CUSIP: 05946XSG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96815 | PA      | $94849.15     | 0.04%             | 2035-04-20      | Floating      | 4.61%                 | No            |                  3 | On Loan: No      |
| Mallinckrodt plc                                                            | Mallinckrodt plc                                                                                      | CUSIP: N/A<br>LEI: 549300LMDE3RUP8Z3L60       | Long             | EC               | CORP              | IE        |       262 | NS      | $2836.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust            | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-7, Class 1A2            | CUSIP: 93934FBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3373 | PA      | $2859.13      | 0.00%             | 2035-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 5 Year Note                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        45 | NC      | $35417.79     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                              | Morgan Stanley                                                                                        | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $465095.33    | 0.20%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                             | Phillips 66 Co.                                                                                       | CUSIP: 718547AG7<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $459712.23    | 0.20%             | 2028-03-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                             | Goldman Sachs Group, Inc. (The)                                                                       | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    750000 | PA      | $690064.07    | 0.30%             | 2029-04-23      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                    | CUSIP: 3138YNNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1334102 | PA      | $1316761.66   | 0.56%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                                      | MidAmerican Energy Co.                                                                                | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    500000 | PA      | $471701.25    | 0.20%             | 2027-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                                    | UnitedHealth Group, Inc.                                                                              | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    600000 | PA      | $589114.15    | 0.25%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                                  | Potomac Electric Power Co.                                                                            | CUSIP: 737679DE7<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |    250000 | PA      | $212711.39    | 0.09%             | 2043-03-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                                               | Nomura Resecuritization Trust, Series 2015-2R, Class 4A1                                              | CUSIP: 65540UAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15142 | PA      | $14579.48     | 0.01%             | 2036-12-26      | Floating      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 5 Year Note                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-877.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| State of Israel                                                             | State of Israel Government Bond                                                                       | CUSIP: 46513YJH2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | USGA              | IL        |   1000000 | PA      | $943312.50    | 0.40%             | 2028-01-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                                 | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $348796.67    | 0.15%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| AvalonBay Communities, Inc.                                                 | AvalonBay Communities, Inc.                                                                           | CUSIP: 05348EBG3<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |    250000 | PA      | $210632.05    | 0.09%             | 2030-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MASTR Asset-Backed Securities Trust                                         | MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3                                        | CUSIP: 576449AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87651 | PA      | $27912.50     | 0.01%             | 2036-11-25      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| Verizon Communications, Inc.                                                | Verizon Communications, Inc.                                                                          | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $874927.28    | 0.37%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 31335GMM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       539 | PA      | $540.35       | 0.00%             | 2025-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                                     | Anheuser-Busch Cos. LLC                                                                               | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $959494.68    | 0.41%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| East Ohio Gas Co. (The)                                                     | East Ohio Gas Co. (The)                                                                               | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |    500000 | PA      | $397143.85    | 0.17%             | 2030-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                             | Goldman Sachs Group, Inc. (The)                                                                       | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    900000 | PA      | $857172.84    | 0.37%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                             | Microsoft Corp.                                                                                       | CUSIP: 594918CD4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    500000 | PA      | $337912.90    | 0.14%             | 2060-06-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                              | Broadcom, Inc.                                                                                        | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    750000 | PA      | $555809.38    | 0.24%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                      | Northrop Grumman Corp.                                                                                | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    250000 | PA      | $205899.71    | 0.09%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2005-NC1, Class M2                                                                | CUSIP: 36242DUH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363967 | PA      | $345964.00    | 0.15%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  3 | On Loan: No      |
| Abbott Laboratories                                                         | Abbott Laboratories                                                                                   | CUSIP: 002824BM1<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $984761.83    | 0.42%             | 2025-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                             | Phillips 66 Co.                                                                                       | CUSIP: 718547AC6<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $484092.46    | 0.21%             | 2025-02-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Cboe Global Markets, Inc.                                                   | Cboe Global Markets, Inc.                                                                             | CUSIP: 12503MAA6<br>LEI: 529900RLNSGA90UPEH54 | Long             | DBT              | CORP              | US        |    500000 | PA      | $477520.18    | 0.20%             | 2027-01-12      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 3128FLSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1804 | PA      | $1802.99      | 0.00%             | 2027-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                | MASTR Alternative Loan Trust, Series 2005-5, Class 3A1                                                | CUSIP: 576434T20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86617 | PA      | $45268.79     | 0.02%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                            | CVS Health Corp.                                                                                      | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $398250.44    | 0.17%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                         | Kinder Morgan, Inc.                                                                                   | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    300000 | PA      | $259459.66    | 0.11%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                            | Berkshire Hathaway Finance Corp.                                                                      | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    500000 | PA      | $341771.66    | 0.15%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                       | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC5, Class A4                      | CUSIP: 86359SAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15035 | PA      | $14607.14     | 0.01%             | 2036-12-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding                                        | Brighthouse Financial Global Funding                                                                  | CUSIP: 10921U2A5<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1876966.22   | 0.80%             | 2024-04-12      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Owl Rock Capital Corp.                                                      | Owl Rock Capital Corp.                                                                                | CUSIP: 69121KAB0<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $944375.73    | 0.40%             | 2025-03-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     90000 | PA      | $6183.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                | ING Groep NV                                                                                          | CUSIP: 456837AU7<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $669596.19    | 0.29%             | 2026-07-01      | Variable      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2007-HE1, Class A2C                                                               | CUSIP: 3622MDAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89560 | PA      | $83888.30     | 0.04%             | 2047-03-25      | Floating      | 4.19%                 | No            |                  3 | On Loan: No      |
| Dominion Energy, Inc.                                                       | Dominion Energy, Inc., Series C                                                                       | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    250000 | PA      | $224981.65    | 0.10%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                          | Credit Agricole SA                                                                                    | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    750000 | PA      | $679628.24    | 0.29%             | 2026-06-16      | Variable      | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Wesco Aircraft Holdings, Inc.                                               | Wesco Aircraft Holdings, Inc.                                                                         | CUSIP: 97789LAA4<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |     20000 | PA      | $5000.00      | 0.00%             | 2027-11-15      | Fixed         | 13.12%                | Yes           |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                            | Cooper-Standard Automotive, Inc.                                                                      | CUSIP: 216762AG9<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31383.67     | 0.01%             | 2024-06-01      | Fixed         | 13.00%                | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                          | General Motors Financial Co., Inc.                                                                    | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $973125.25    | 0.42%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Resources Corp.                                          | CenterPoint Energy Resources Corp.                                                                    | CUSIP: 15189WAM2<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1977204.98   | 0.85%             | 2023-03-02      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                             | Microsoft Corp.                                                                                       | CUSIP: 594918BJ2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    624000 | PA      | $606172.91    | 0.26%             | 2025-11-03      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                                       | Delta Air Lines, Inc.                                                                                 | CUSIP: 247361ZP6<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    500000 | PA      | $494881.25    | 0.21%             | 2023-04-19      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                             | Santander UK Group Holdings plc                                                                       | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $927850.32    | 0.40%             | 2025-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2186000 | PA      | $2235001.62   | 0.96%             | 2052-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                             | Citigroup, Inc.                                                                                       | CUSIP: 172967BL4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    320000 | PA      | $338920.06    | 0.15%             | 2032-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2020-1, Class B1                                                     | CUSIP: 03464RAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143000 | PA      | $120503.27    | 0.05%             | 2059-12-25      | Variable      | 3.76%                 | Yes           |                  3 | On Loan: No      |
| Sirius XM Radio, Inc.                                                       | Sirius XM Radio, Inc.                                                                                 | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23277.50     | 0.01%             | 2029-07-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MYT Holding LLC                                                             | MYT Holding LLC, Series A                                                                             | CUSIP: 55406N202<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     84094 | NS      | $111529.67    | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| GCAT Trust                                                                  | GCAT Trust, Series 2020-NQM1, Class A1                                                                | CUSIP: 36167FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212189 | PA      | $199607.80    | 0.09%             | 2060-01-25      | Variable      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| John Deere Capital Corp.                                                    | John Deere Capital Corp.                                                                              | CUSIP: 24422EVP1<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    750000 | PA      | $647586.51    | 0.28%             | 2028-03-06      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                           | BAT Capital Corp.                                                                                     | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    250000 | PA      | $228034.52    | 0.10%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-J2, Class A1                                                      | CUSIP: 12668BTD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56223 | PA      | $23289.84     | 0.01%             | 2036-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                             | Citigroup, Inc.                                                                                       | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $819545.20    | 0.35%             | 2031-06-03      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| ESC Co.                                                                     | ESC Co., Escrow                                                                                       | CUSIP: 458ESCAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    581000 | PA      | $58.10        | 0.00%             | 2023-08-01      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| BAT Capital Corp.                                                           | BAT Capital Corp.                                                                                     | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    400000 | PA      | $315018.54    | 0.13%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                | Oracle Corp.                                                                                          | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    300000 | PA      | $208705.85    | 0.09%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                                | San Diego Gas & Electric Co., Series TTT                                                              | CUSIP: 797440BX1<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $412851.06    | 0.18%             | 2049-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                                    | U.S. Treasury Bonds                                                                                   | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4850000 | PA      | $3383632.81   | 1.45%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp.                                                | American Honda Finance Corp.                                                                          | CUSIP: 02665WDN8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $905394.81    | 0.39%             | 2025-09-10      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    180000 | PA      | $-152693.63   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                          | T-Mobile USA, Inc.                                                                                    | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $829133.72    | 0.36%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Lincoln National Corp.                                                      | Lincoln National Corp.                                                                                | CUSIP: 534187BD0<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247396.61    | 0.11%             | 2023-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                                               | Discover Bank                                                                                         | CUSIP: 25466AAK7<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498385.40    | 0.21%             | 2023-02-06      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20500000 | PA      | $18141472.13  | 7.77%             | 2052-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                      | Credit Suisse Group AG                                                                                | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $393190.00    | 0.17%             | 2027-02-02      | Variable      | 1.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                     | FHLMC STACR REMIC Trust, Series 2020-HQA1, Class M2                                                   | CUSIP: 35565JAH4<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | CORP              | US        |    505844 | PA      | $496359.44    | 0.21%             | 2050-01-25      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                       | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-GEL4, Class M1                     | CUSIP: 86361NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104233 | PA      | $100957.19    | 0.04%             | 2036-10-25      | Floating      | 4.61%                 | Yes           |                  3 | On Loan: No      |
| BP Capital Markets America, Inc.                                            | BP Capital Markets America, Inc.                                                                      | CUSIP: 10373QBM1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    500000 | PA      | $404095.11    | 0.17%             | 2030-08-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                    | U.S. Treasury Bonds                                                                                   | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4050000 | PA      | $2572224.62   | 1.10%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                              | Morgan Stanley                                                                                        | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    750000 | PA      | $690631.78    | 0.30%             | 2029-01-24      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                                | Mondelez International, Inc.                                                                          | CUSIP: 609207AX3<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    500000 | PA      | $386544.30    | 0.17%             | 2031-02-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                      | Truist Financial Corp.                                                                                | CUSIP: 89788MAD4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    750000 | PA      | $665244.83    | 0.28%             | 2027-03-02      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                             | Eastern Energy Gas Holdings LLC, Series A                                                             | CUSIP: 257375AN5<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1900745.34   | 0.81%             | 2024-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Caterpillar, Inc.                                                           | Caterpillar, Inc.                                                                                     | CUSIP: 149123CH2<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |    500000 | PA      | $438795.88    | 0.19%             | 2030-04-09      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MasTec, Inc.                                                                | MasTec, Inc.                                                                                          | CUSIP: 576323AP4<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |     31000 | PA      | $27988.08     | 0.01%             | 2028-08-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Claire's Stores, Inc.                                                       | Claire's Stores, Inc.                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       190 | NS      | $427500.00    | 0.18%             |  |  |  | No            |                  3 | On Loan: No      |
| Eversource Energy                                                           | Eversource Energy                                                                                     | CUSIP: 30040WAH1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    300000 | PA      | $219166.01    | 0.09%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| KeySpan Gas East Corp.                                                      | KeySpan Gas East Corp.                                                                                | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    500000 | PA      | $448932.06    | 0.19%             | 2026-08-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                       | NextEra Energy Capital Holdings, Inc.                                                                 | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    500000 | PA      | $414777.74    | 0.18%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                           | Wells Fargo & Co.                                                                                     | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    750000 | PA      | $663212.00    | 0.28%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                             | CUSIP: 3128KFQS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25408 | PA      | $26032.39     | 0.01%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1                                       | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1251000 | PA      | $1145983.43   | 0.49%             | 2040-01-25      | Floating      | 7.27%                 | Yes           |                  3 | On Loan: No      |
| Atmos Energy Corp.                                                          | Atmos Energy Corp.                                                                                    | CUSIP: 049560AU9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1483937.54   | 0.64%             | 2023-03-09      | Fixed         | 0.62%                 | 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        |  10000000 | PA      | $8553906.30   | 3.66%             | 2052-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2006-19, Class A2                                                      | CUSIP: 362244AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159024 | PA      | $44255.67     | 0.02%             | 2036-12-25      | Floating      | 4.40%                 | No            |                  3 | On Loan: No      |
| Duke Energy Corp.                                                           | Duke Energy Corp.                                                                                     | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    500000 | PA      | $411232.94    | 0.18%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                                              | Alphabet, Inc.                                                                                        | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    500000 | PA      | $302583.71    | 0.13%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                        | American Express Co.                                                                                  | CUSIP: 025816BW8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1487989.80   | 0.64%             | 2023-08-03      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                       | Sumitomo Mitsui Financial Group, Inc.                                                                 | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $455832.91    | 0.20%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                               | MetLife, Inc.                                                                                         | CUSIP: 59156RBN7<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    300000 | PA      | $253504.53    | 0.11%             | 2045-03-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 15 Year                                                               | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2350000 | PA      | $2211466.61   | 0.95%             | 2037-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust, Series 2004-9, Class 2A                                               | CUSIP: 41161PHS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1305 | PA      | $1072.69      | 0.00%             | 2034-12-19      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** JPMorgan Trust I

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer