# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0001752724-25-180663
**Filing Date:** 2025-7
**Character Count:** 1029063
**Document Hash:** 611805cc83fe2fe29247c12a4e6e1fc1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-180663.hdr.sgml**: 20250728

**ACCESSION NUMBER**: 0001752724-25-180663

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250728

**DATE AS OF CHANGE**: 20250728

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 251154616

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

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

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

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

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

## Series and Classes Contracts Data

### JPMorgan Short Duration Bond Fund (Series ID: S000003490)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009653 | Class I      | HLLVX           |
| C000009654 | Class A      | OGLVX           |
| C000009656 | Class C      | OSTCX           |
| C000009657 | Class R6     | JSDUX           |

## Nport-Ex

**JPMorgan Short Duration Bond Fund**

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

**(Unaudited)** 

---

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

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited)

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| **Corporate Bonds — 27.1%** | **Corporate Bonds — 27.1%** | **Corporate Bonds — 27.1%** |
| **Automobiles — 0.9%** | **Automobiles — 0.9%** | **Automobiles — 0.9%** |
| &nbsp;&nbsp;&nbsp; BMW US Capital LLC (Germany) 4.75%, 3/21/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 25165 |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America  | &nbsp;&nbsp;&nbsp; Hyundai Capital America  | &nbsp;&nbsp;&nbsp; Hyundai Capital America  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 10/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8440 | &nbsp;&nbsp;&nbsp;&nbsp; 8343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 1/8/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5075 | &nbsp;&nbsp;&nbsp;&nbsp; 4967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/10/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5806 | &nbsp;&nbsp;&nbsp;&nbsp; 5634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.28%, 6/24/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12355 | &nbsp;&nbsp;&nbsp;&nbsp; 12432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 9/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18395 | &nbsp;&nbsp;&nbsp;&nbsp; 18034 |
| &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) 4.95%, 3/25/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19997 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 94572 |
| **Banks — 17.1%** | **Banks — 17.1%** | **Banks — 17.1%** |
| &nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9191 | &nbsp;&nbsp;&nbsp;&nbsp; 9185 |
| &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) | &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) | &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14120 | &nbsp;&nbsp;&nbsp;&nbsp; 14852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.32%, 5/15/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14630 | &nbsp;&nbsp;&nbsp;&nbsp; 14759 |
| &nbsp;&nbsp;&nbsp; ASB Bank Ltd. (New Zealand) 5.35%, 6/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17260 | &nbsp;&nbsp;&nbsp;&nbsp; 17416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), <br> 5.86%, 9/14/2026 (b)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 24200 | &nbsp;&nbsp;&nbsp;&nbsp; 24252 |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) | &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) | &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.61%, 11/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8200 | &nbsp;&nbsp;&nbsp;&nbsp; 8708 |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  | &nbsp;&nbsp;&nbsp; Bank of America Corp.  | &nbsp;&nbsp;&nbsp; Bank of America Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.15%), 1.32%, 6/19/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14105 | &nbsp;&nbsp;&nbsp;&nbsp; 14078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 5.08%, 1/20/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 35240 | &nbsp;&nbsp;&nbsp;&nbsp; 35314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6558 | &nbsp;&nbsp;&nbsp;&nbsp; 6447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series FIX, (SOFR + 0.83%), 4.98%, 1/24/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14935 | &nbsp;&nbsp;&nbsp;&nbsp; 15081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.20%, 4/25/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 51100 | &nbsp;&nbsp;&nbsp;&nbsp; 51926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.11%), 4.62%, 5/9/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23220 | &nbsp;&nbsp;&nbsp;&nbsp; 23214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 5.82%, 9/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24600 | &nbsp;&nbsp;&nbsp;&nbsp; 25486 |
| &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) | &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) | &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11690 | &nbsp;&nbsp;&nbsp;&nbsp; 11733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.62%), 5.60%, 3/20/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8870 | &nbsp;&nbsp;&nbsp;&nbsp; 9058 |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) | &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) | &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 6/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20025 | &nbsp;&nbsp;&nbsp;&nbsp; 20185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.27%, 12/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10410 | &nbsp;&nbsp;&nbsp;&nbsp; 10531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series f2f, (SOFR + 0.88%), 4.57%, 9/10/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23025 | &nbsp;&nbsp;&nbsp;&nbsp; 23006 |
| &nbsp;&nbsp;&nbsp; Bank of New Zealand (New Zealand) 4.85%, 2/7/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15120 | &nbsp;&nbsp;&nbsp;&nbsp; 15272 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) | &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) | &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 2/2/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 21890 | &nbsp;&nbsp;&nbsp;&nbsp; 21916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 12/7/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16400 | &nbsp;&nbsp;&nbsp;&nbsp; 16603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 4.40%, 9/8/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20120 | &nbsp;&nbsp;&nbsp;&nbsp; 20049 |
| &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) | &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) | &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.94%, 1/26/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19910 | &nbsp;&nbsp;&nbsp;&nbsp; 19955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 7/13/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13540 | &nbsp;&nbsp;&nbsp;&nbsp; 13727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.09%, 1/23/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11975 | &nbsp;&nbsp;&nbsp;&nbsp; 12057 |
| &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.49%), 5.67%, 3/12/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20355 | &nbsp;&nbsp;&nbsp;&nbsp; 20662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.34%), 4.84%, 9/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13245 | &nbsp;&nbsp;&nbsp;&nbsp; 13272 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) | &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) | &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17100 | &nbsp;&nbsp;&nbsp;&nbsp; 17091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9670 | &nbsp;&nbsp;&nbsp;&nbsp; 9469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.45%), 4.79%, 5/9/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 30055 | &nbsp;&nbsp;&nbsp;&nbsp; 30004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 5.28%, 11/19/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22355 | &nbsp;&nbsp;&nbsp;&nbsp; 22571 |
| &nbsp;&nbsp;&nbsp; BPCE SA (France) | &nbsp;&nbsp;&nbsp; BPCE SA (France) | &nbsp;&nbsp;&nbsp; BPCE SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16801 | &nbsp;&nbsp;&nbsp;&nbsp; 16602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.10%), 5.98%, 1/18/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10480 | &nbsp;&nbsp;&nbsp;&nbsp; 10545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.96%), 5.72%, 1/18/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21600 | &nbsp;&nbsp;&nbsp;&nbsp; 22073 |
| &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) | &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) | &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.08%), 6.68%, 9/13/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18495 | &nbsp;&nbsp;&nbsp;&nbsp; 18922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.70%), 6.21%, 1/18/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 41073 | &nbsp;&nbsp;&nbsp;&nbsp; 42469 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) | &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) | &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.93%), 4.51%, 9/11/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19135 | &nbsp;&nbsp;&nbsp;&nbsp; 19105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/28/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17230 | &nbsp;&nbsp;&nbsp;&nbsp; 17510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 4.86%, 3/30/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19485 | &nbsp;&nbsp;&nbsp;&nbsp; 19589 |
| &nbsp;&nbsp;&nbsp; Citibank NA 5.49%, 12/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12135 | &nbsp;&nbsp;&nbsp;&nbsp; 12310 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.55%), 5.61%, 9/29/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23415 | &nbsp;&nbsp;&nbsp;&nbsp; 23469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.77%), 1.12%, 1/28/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13725 | &nbsp;&nbsp;&nbsp;&nbsp; 13399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.14%), 4.64%, 5/7/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 37875 | &nbsp;&nbsp;&nbsp;&nbsp; 37817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.87%), 4.79%, 3/4/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15235 | &nbsp;&nbsp;&nbsp;&nbsp; 15256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.36%), 5.17%, 2/13/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27965 | &nbsp;&nbsp;&nbsp;&nbsp; 28324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.34%), 4.54%, 9/19/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22140 | &nbsp;&nbsp;&nbsp;&nbsp; 21867 |
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) | &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) | &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, 9/24/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10550 | &nbsp;&nbsp;&nbsp;&nbsp; 10421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9495 | &nbsp;&nbsp;&nbsp;&nbsp; 9722 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) | &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) | &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12090 | &nbsp;&nbsp;&nbsp;&nbsp; 12076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.13%), 5.23%, 1/9/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17180 | &nbsp;&nbsp;&nbsp;&nbsp; 17361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.86%), 6.32%, 10/3/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8895 | &nbsp;&nbsp;&nbsp;&nbsp; 9300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, <br> 3/1/2030 (a) (b)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7155 | &nbsp;&nbsp;&nbsp;&nbsp; 7373 |
| &nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) | &nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) | &nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14945 | &nbsp;&nbsp;&nbsp;&nbsp; 14784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20942 | &nbsp;&nbsp;&nbsp;&nbsp; 19847 |
| &nbsp;&nbsp;&nbsp; Federation des Caisses Desjardins du Quebec (Canada) | &nbsp;&nbsp;&nbsp; Federation des Caisses Desjardins du Quebec (Canada) | &nbsp;&nbsp;&nbsp; Federation des Caisses Desjardins du Quebec (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 8/23/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 4/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15410 | &nbsp;&nbsp;&nbsp;&nbsp; 15694 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.93%), 2.10%, 6/4/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11950 | &nbsp;&nbsp;&nbsp;&nbsp; 11948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 5.89%, 8/14/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15380 | &nbsp;&nbsp;&nbsp;&nbsp; 15571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.06%), 5.60%, 5/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18740 | &nbsp;&nbsp;&nbsp;&nbsp; 19018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.04%), 5.13%, 11/19/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19840 | &nbsp;&nbsp;&nbsp;&nbsp; 19986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 4.90%, 3/3/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 32870 | &nbsp;&nbsp;&nbsp;&nbsp; 32945 |
| &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) (SOFR + 1.01%), 4.86%, 3/25/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22300 | &nbsp;&nbsp;&nbsp;&nbsp; 22388 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) | &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) | &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5645 | &nbsp;&nbsp;&nbsp;&nbsp; 5799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 4.93%, 10/16/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18155 | &nbsp;&nbsp;&nbsp;&nbsp; 18217 |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.72%, 8/11/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21380 | &nbsp;&nbsp;&nbsp;&nbsp; 21373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16745 | &nbsp;&nbsp;&nbsp;&nbsp; 16979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13210 | &nbsp;&nbsp;&nbsp;&nbsp; 13597 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.41%, 7/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5310 | &nbsp;&nbsp;&nbsp;&nbsp; 5289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 5.16%, 4/24/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7200 | &nbsp;&nbsp;&nbsp;&nbsp; 7299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, <br> 5/22/2027 (b)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 18070 | &nbsp;&nbsp;&nbsp;&nbsp; 17489 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank NA  | &nbsp;&nbsp;&nbsp; Morgan Stanley Bank NA  | &nbsp;&nbsp;&nbsp; Morgan Stanley Bank NA  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.68%), 4.45%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 32680 | &nbsp;&nbsp;&nbsp;&nbsp; 32658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.93%), 4.97%, 7/14/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6720 | &nbsp;&nbsp;&nbsp;&nbsp; 6777 |
| &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 4/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 13029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2770 | &nbsp;&nbsp;&nbsp;&nbsp; 2802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16754 | &nbsp;&nbsp;&nbsp;&nbsp; 16890 |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.79%, 3/21/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15580 | &nbsp;&nbsp;&nbsp;&nbsp; 15653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.41%, 5/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15350 | &nbsp;&nbsp;&nbsp;&nbsp; 15741 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (Finland) 4.75%, 9/22/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19165 | &nbsp;&nbsp;&nbsp;&nbsp; 19170 |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) | &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) | &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.79%), 5.07%, 7/23/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21930 | &nbsp;&nbsp;&nbsp;&nbsp; 22075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.81%), 4.71%, 3/27/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28810 | &nbsp;&nbsp;&nbsp;&nbsp; 28908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.86%), 4.52%, 10/18/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23060 | &nbsp;&nbsp;&nbsp;&nbsp; 23042 |
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5660 | &nbsp;&nbsp;&nbsp;&nbsp; 5618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.75%), 6.83%, 11/21/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10560 | &nbsp;&nbsp;&nbsp;&nbsp; 10656 |
| &nbsp;&nbsp;&nbsp; Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15980 | &nbsp;&nbsp;&nbsp;&nbsp; 16382 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) | &nbsp;&nbsp;&nbsp; Societe Generale SA (France) | &nbsp;&nbsp;&nbsp; Societe Generale SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 31760 | &nbsp;&nbsp;&nbsp;&nbsp; 32022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2059 | &nbsp;&nbsp;&nbsp;&nbsp; 1994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.42%), 5.25%, 5/22/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 30415 | &nbsp;&nbsp;&nbsp;&nbsp; 30552 |
| &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 33120 | &nbsp;&nbsp;&nbsp;&nbsp; 33580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.15%), 5.01%, 10/15/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12805 | &nbsp;&nbsp;&nbsp;&nbsp; 12794 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) 1.47%, 7/8/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 20905 | &nbsp;&nbsp;&nbsp;&nbsp; 20841 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Trust Bank Ltd. (Japan) | &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Trust Bank Ltd. (Japan) | &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Trust Bank Ltd. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 3/9/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7590 | &nbsp;&nbsp;&nbsp;&nbsp; 7656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 9/10/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23220 | &nbsp;&nbsp;&nbsp;&nbsp; 23215 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) | &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) | &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.53%, 7/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17645 | &nbsp;&nbsp;&nbsp;&nbsp; 17840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 1/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 21905 | &nbsp;&nbsp;&nbsp;&nbsp; 22118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.57%, 6/2/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 27260 | &nbsp;&nbsp;&nbsp;&nbsp; 27278 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  | &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  | &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.51%), 3.53%, 3/24/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14645 | &nbsp;&nbsp;&nbsp;&nbsp; 14364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.07%), 5.71%, 4/22/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23760 | &nbsp;&nbsp;&nbsp;&nbsp; 24199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.98%), 4.81%, 7/25/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14025 | &nbsp;&nbsp;&nbsp;&nbsp; 14064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.37%), 4.97%, 4/23/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22970 | &nbsp;&nbsp;&nbsp;&nbsp; 23141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.74%), 5.57%, 7/25/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16450 | &nbsp;&nbsp;&nbsp;&nbsp; 16876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.79%), 6.30%, 10/23/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7920 | &nbsp;&nbsp;&nbsp;&nbsp; 8311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.50%), 5.20%, 1/23/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12500 | &nbsp;&nbsp;&nbsp;&nbsp; 12704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.11%), 5.24%, 1/24/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10450 | &nbsp;&nbsp;&nbsp;&nbsp; 10606 |
| &nbsp;&nbsp;&nbsp; Westpac New Zealand Ltd. (New Zealand) | &nbsp;&nbsp;&nbsp; Westpac New Zealand Ltd. (New Zealand) | &nbsp;&nbsp;&nbsp; Westpac New Zealand Ltd. (New Zealand) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 2/26/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10695 | &nbsp;&nbsp;&nbsp;&nbsp; 10807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8935 | &nbsp;&nbsp;&nbsp;&nbsp; 9019 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1854061 |
| **Beverages — 0.2%** | **Beverages — 0.2%** | **Beverages — 0.2%** |
| &nbsp;&nbsp;&nbsp; Constellation Brands, Inc. 5.00%, 2/2/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 13160 | &nbsp;&nbsp;&nbsp;&nbsp; 13150 |
| &nbsp;&nbsp;&nbsp; Diageo Investment Corp. (United Kingdom) 5.13%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8770 | &nbsp;&nbsp;&nbsp;&nbsp; 8948 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 22098 |
| **Capital Markets — 4.0%** | **Capital Markets — 4.0%** | **Capital Markets — 4.0%** |
| &nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp. (The) (SOFR + 0.84%), 4.89%, 7/21/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21905 | &nbsp;&nbsp;&nbsp;&nbsp; 22138 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) | &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) | &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.87%), 2.13%, 11/24/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8703 | &nbsp;&nbsp;&nbsp;&nbsp; 8581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 2.31%, 11/16/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4997 | &nbsp;&nbsp;&nbsp;&nbsp; 4810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.71%, 2/8/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.41%, 5/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5235 | &nbsp;&nbsp;&nbsp;&nbsp; 5388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.51%), 6.82%, 11/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8395 | &nbsp;&nbsp;&nbsp;&nbsp; 8883 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Bank USA (SOFR + 0.75%), 5.41%, 5/21/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7050 | &nbsp;&nbsp;&nbsp;&nbsp; 7100 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.08%), 5.80%, 8/10/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28070 | &nbsp;&nbsp;&nbsp;&nbsp; 28122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.79%), 1.09%, 12/9/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13850 | &nbsp;&nbsp;&nbsp;&nbsp; 13587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.32%), 4.94%, 4/23/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28985 | &nbsp;&nbsp;&nbsp;&nbsp; 29133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.77%), 6.48%, 10/24/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13300 | &nbsp;&nbsp;&nbsp;&nbsp; 14031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.27%), 5.73%, 4/25/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13460 | &nbsp;&nbsp;&nbsp;&nbsp; 13911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 5.05%, 7/23/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29450 | &nbsp;&nbsp;&nbsp;&nbsp; 29702 |
| &nbsp;&nbsp;&nbsp; Macquarie Bank Ltd. (Australia) 5.27%, 7/2/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16030 | &nbsp;&nbsp;&nbsp;&nbsp; 16316 |
| &nbsp;&nbsp;&nbsp; Macquarie Group Ltd. (Australia) (SOFR + 1.07%), 1.34%, 1/12/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15754 | &nbsp;&nbsp;&nbsp;&nbsp; 15434 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  | &nbsp;&nbsp;&nbsp; Morgan Stanley  | &nbsp;&nbsp;&nbsp; Morgan Stanley  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.72%), 0.99%, 12/10/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18126 | &nbsp;&nbsp;&nbsp;&nbsp; 17764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.24%), 6.30%, 10/18/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20930 | &nbsp;&nbsp;&nbsp;&nbsp; 21708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 5.12%, 2/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10610 | &nbsp;&nbsp;&nbsp;&nbsp; 10738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 4.99%, 4/12/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16465 | &nbsp;&nbsp;&nbsp;&nbsp; 16619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.45%, 7/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28690 | &nbsp;&nbsp;&nbsp;&nbsp; 29346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.26%), 5.66%, 4/18/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17775 | &nbsp;&nbsp;&nbsp;&nbsp; 18349 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 7/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8625 | &nbsp;&nbsp;&nbsp;&nbsp; 8594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 7/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20765 | &nbsp;&nbsp;&nbsp;&nbsp; 20066 |
| &nbsp;&nbsp;&nbsp; UBS AG (Switzerland) 7.50%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 31565 | &nbsp;&nbsp;&nbsp;&nbsp; 33924 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Capital Markets — continued** | **Capital Markets — continued** | **Capital Markets — continued** |
| &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) | &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) | &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8594 | &nbsp;&nbsp;&nbsp;&nbsp; 8639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.70%), 6.44%, 8/11/2028 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5038 | &nbsp;&nbsp;&nbsp;&nbsp; 5216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24645 | &nbsp;&nbsp;&nbsp;&nbsp; 25382 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 439555 |
| **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** |
| &nbsp;&nbsp;&nbsp; Quanta Services, Inc. 4.75%, 8/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12175 | &nbsp;&nbsp;&nbsp;&nbsp; 12225 |
| **Consumer Finance — 1.3%** | **Consumer Finance — 1.3%** | **Consumer Finance — 1.3%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) | &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) | &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12660 | &nbsp;&nbsp;&nbsp;&nbsp; 12665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 10/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4295 | &nbsp;&nbsp;&nbsp;&nbsp; 4289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 10/29/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 14854 | &nbsp;&nbsp;&nbsp;&nbsp; 15286 |
| &nbsp;&nbsp;&nbsp; American Express Co.  | &nbsp;&nbsp;&nbsp; American Express Co.  | &nbsp;&nbsp;&nbsp; American Express Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.75%), 5.65%, 4/23/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20170 | &nbsp;&nbsp;&nbsp;&nbsp; 20352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.93%), 5.04%, 7/26/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13755 | &nbsp;&nbsp;&nbsp;&nbsp; 13917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.26%), 4.73%, 4/25/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23360 | &nbsp;&nbsp;&nbsp;&nbsp; 23490 |
| &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) | &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) | &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16775 | &nbsp;&nbsp;&nbsp;&nbsp; 16777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22610 | &nbsp;&nbsp;&nbsp;&nbsp; 23021 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp. (SOFR + 2.08%), 5.47%, 2/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10450 | &nbsp;&nbsp;&nbsp;&nbsp; 10636 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 145279 |
| **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** |
| &nbsp;&nbsp;&nbsp; Amcor Flexibles North America, Inc. 4.80%, 3/17/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15039 |
| **Electric Utilities — 0.3%** | **Electric Utilities — 0.3%** | **Electric Utilities — 0.3%** |
| &nbsp;&nbsp;&nbsp; Alliant Energy Finance LLC 1.40%, 3/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4640 | &nbsp;&nbsp;&nbsp;&nbsp; 4515 |
| &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) 5.13%, 6/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11710 | &nbsp;&nbsp;&nbsp;&nbsp; 11855 |
| &nbsp;&nbsp;&nbsp; Entergy Corp. 0.90%, 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2915 | &nbsp;&nbsp;&nbsp;&nbsp; 2883 |
| &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc. 5.75%, 9/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7435 | &nbsp;&nbsp;&nbsp;&nbsp; 7454 |
| &nbsp;&nbsp;&nbsp; Trans-Allegheny Interstate Line Co. 5.00%, 1/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5675 | &nbsp;&nbsp;&nbsp;&nbsp; 5719 |
| &nbsp;&nbsp;&nbsp; Virginia Power Fuel Securitization LLC Series A-1, 5.09%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2731 | &nbsp;&nbsp;&nbsp;&nbsp; 2744 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 35170 |
| **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Take-Two Interactive Software, Inc. 5.40%, 6/12/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1680 | &nbsp;&nbsp;&nbsp;&nbsp; 1715 |
| **Financial Services — 0.6%** | **Financial Services — 0.6%** | **Financial Services — 0.6%** |
| &nbsp;&nbsp;&nbsp; CFIN 2022-RTL1 Issuer LLC Class A Shares, 0.00%, 8/17/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 3665 | &nbsp;&nbsp;&nbsp;&nbsp; 3665 |
| &nbsp;&nbsp;&nbsp; Global Payments, Inc. 4.95%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12305 | &nbsp;&nbsp;&nbsp;&nbsp; 12360 |
| &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) | &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) | &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.91%), 6.56%, 10/18/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17115 | &nbsp;&nbsp;&nbsp;&nbsp; 17525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 2.97%, 2/16/2028 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 7/29/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22135 | &nbsp;&nbsp;&nbsp;&nbsp; 22488 |
| &nbsp;&nbsp;&nbsp; Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2840 | &nbsp;&nbsp;&nbsp;&nbsp; 2840 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 63739 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Ground Transportation — 0.1%** | **Ground Transportation — 0.1%** | **Ground Transportation — 0.1%** |
| &nbsp;&nbsp;&nbsp; Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9600 | &nbsp;&nbsp;&nbsp;&nbsp; 9431 |
| **Health Care Providers & Services — 0.0% ^** | **Health Care Providers & Services — 0.0% ^** | **Health Care Providers & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; HCA, Inc. 5.00%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4235 | &nbsp;&nbsp;&nbsp;&nbsp; 4280 |
| **Independent Power and Renewable Electricity Producers — 0.2%** | **Independent Power and Renewable Electricity Producers — 0.2%** | **Independent Power and Renewable Electricity Producers — 0.2%** |
| &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  | &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  | &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4675 | &nbsp;&nbsp;&nbsp;&nbsp; 4675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10415 | &nbsp;&nbsp;&nbsp;&nbsp; 10738 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 15413 |
| **Insurance — 0.9%** | **Insurance — 0.9%** | **Insurance — 0.9%** |
| &nbsp;&nbsp;&nbsp; CNO Global Funding 5.88%, 6/4/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25335 | &nbsp;&nbsp;&nbsp;&nbsp; 25910 |
| &nbsp;&nbsp;&nbsp; Equitable Financial Life Global Funding 1.00%, 1/9/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13395 | &nbsp;&nbsp;&nbsp;&nbsp; 13112 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding  | &nbsp;&nbsp;&nbsp; F&G Global Funding  | &nbsp;&nbsp;&nbsp; F&G Global Funding  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 6/30/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11240 | &nbsp;&nbsp;&nbsp;&nbsp; 10883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 6/10/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20970 | &nbsp;&nbsp;&nbsp;&nbsp; 21379 |
| &nbsp;&nbsp;&nbsp; Jackson National Life Global Funding 3.88%, 6/11/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9998 |
| &nbsp;&nbsp;&nbsp; Protective Life Global Funding 5.21%, 4/14/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17325 | &nbsp;&nbsp;&nbsp;&nbsp; 17429 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 98711 |
| **IT Services — 0.1%** | **IT Services — 0.1%** | **IT Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Identity Digital Ltd. (Ireland) 6.79%, 3/20/2065 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 |
| **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** |
| &nbsp;&nbsp;&nbsp; DTE Energy Co. 5.10%, 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 20225 | &nbsp;&nbsp;&nbsp;&nbsp; 20505 |
| &nbsp;&nbsp;&nbsp; NiSource, Inc. 0.95%, 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7710 | &nbsp;&nbsp;&nbsp;&nbsp; 7650 |
| &nbsp;&nbsp;&nbsp; WEC Energy Group, Inc. 5.00%, 9/27/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5625 | &nbsp;&nbsp;&nbsp;&nbsp; 5626 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 33781 |
| **Oil, Gas & Consumable Fuels — 0.3%** | **Oil, Gas & Consumable Fuels — 0.3%** | **Oil, Gas & Consumable Fuels — 0.3%** |
| &nbsp;&nbsp;&nbsp; Energy Transfer LP 5.63%, 5/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16335 | &nbsp;&nbsp;&nbsp;&nbsp; 16336 |
| &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12825 | &nbsp;&nbsp;&nbsp;&nbsp; 12664 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 29000 |
| **Semiconductors & Semiconductor Equipment — 0.1%** | **Semiconductors & Semiconductor Equipment — 0.1%** | **Semiconductors & Semiconductor Equipment — 0.1%** |
| &nbsp;&nbsp;&nbsp; Microchip Technology, Inc. 4.25%, 9/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7850 | &nbsp;&nbsp;&nbsp;&nbsp; 7838 |
| **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; AutoZone, Inc. 5.13%, 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12725 | &nbsp;&nbsp;&nbsp;&nbsp; 12926 |
| **Tobacco — 0.2%** | **Tobacco — 0.2%** | **Tobacco — 0.2%** |
| &nbsp;&nbsp;&nbsp; Japan Tobacco, Inc. (Japan) 4.85%, 5/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25785 | &nbsp;&nbsp;&nbsp;&nbsp; 26025 |
| **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc. 3.38%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 17770 | &nbsp;&nbsp;&nbsp;&nbsp; 16947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $2,932,083)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2952805 |
| **Asset-Backed Securities — 26.4%** | **Asset-Backed Securities — 26.4%** | **Asset-Backed Securities — 26.4%** |
| &nbsp;&nbsp;&nbsp; Accelerated LLC Series 2021-1H, Class A, 1.35%, 10/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 668 | &nbsp;&nbsp;&nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp; Affirm Asset Securitization Trust Series 2024-X1, Class A, 6.27%, 5/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1055 | &nbsp;&nbsp;&nbsp;&nbsp; 1056 |
| &nbsp;&nbsp;&nbsp; Ally Auto Receivables Trust Series 2024-1, Class A3, 5.08%, 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7491 | &nbsp;&nbsp;&nbsp;&nbsp; 7532 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; American Credit Acceptance Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 6.10%, 12/13/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5330 | &nbsp;&nbsp;&nbsp;&nbsp; 5349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2451 | &nbsp;&nbsp;&nbsp;&nbsp; 2458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 4.90%, 3/12/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10625 | &nbsp;&nbsp;&nbsp;&nbsp; 10627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4529 | &nbsp;&nbsp;&nbsp;&nbsp; 4534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3625 | &nbsp;&nbsp;&nbsp;&nbsp; 3661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class D, 6.47%, 8/13/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class C, 6.24%, 4/12/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11879 | &nbsp;&nbsp;&nbsp;&nbsp; 12021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class C, 4.91%, 8/12/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7700 | &nbsp;&nbsp;&nbsp;&nbsp; 7691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class D, 5.34%, 8/12/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2561 | &nbsp;&nbsp;&nbsp;&nbsp; 2557 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5682 | &nbsp;&nbsp;&nbsp;&nbsp; 5625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class B, 1.81%, 9/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9780 | &nbsp;&nbsp;&nbsp;&nbsp; 9683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5221 | &nbsp;&nbsp;&nbsp;&nbsp; 5142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 2.15%, 6/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8230 | &nbsp;&nbsp;&nbsp;&nbsp; 7603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class B, 1.78%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15096 | &nbsp;&nbsp;&nbsp;&nbsp; 14522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class C, 1.88%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class A, 1.48%, 10/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11422 | &nbsp;&nbsp;&nbsp;&nbsp; 10904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class B, 1.73%, 10/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7207 | &nbsp;&nbsp;&nbsp;&nbsp; 6871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR4, Class B, 2.42%, 12/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class C, 3.74%, 3/17/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 5341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class C, 4.00%, 10/17/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1940 |
| &nbsp;&nbsp;&nbsp; Amur Equipment Finance Receivables LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, 5.65%, 10/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2, 6.09%, 12/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2736 | &nbsp;&nbsp;&nbsp;&nbsp; 2763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.38%, 1/21/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4357 | &nbsp;&nbsp;&nbsp;&nbsp; 4390 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Issuer Trust Series 2025-A, Class A, 5.25%, 12/19/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23096 | &nbsp;&nbsp;&nbsp;&nbsp; 23037 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-A, Class A, 3.14%, 7/16/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 954 | &nbsp;&nbsp;&nbsp;&nbsp; 923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.54%, 7/17/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp;&nbsp;&nbsp; 956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 1.90%, 7/17/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4, Class A, 5.79%, 11/15/2036 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2246 | &nbsp;&nbsp;&nbsp;&nbsp; 2244 |
| &nbsp;&nbsp;&nbsp; Ares CLO Ltd. (Cayman Islands) Series 2015-4A, Class A1RR, 5.34%, 10/15/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4177 | &nbsp;&nbsp;&nbsp;&nbsp; 4176 |
| &nbsp;&nbsp;&nbsp; ARI Fleet Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A2, 4.38%, 1/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6290 | &nbsp;&nbsp;&nbsp;&nbsp; 6261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.46%, 1/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5958 |
| &nbsp;&nbsp;&nbsp; Auxilior Term Funding LLC Series 2023-1A, Class A2, 6.18%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6421 | &nbsp;&nbsp;&nbsp;&nbsp; 6473 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A, 2.02%, 2/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22865 | &nbsp;&nbsp;&nbsp;&nbsp; 22526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 1.66%, 2/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11899 | &nbsp;&nbsp;&nbsp;&nbsp; 11389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 5.44%, 2/22/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 14159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, 4.30%, 8/21/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-6A, Class C, 7.03%, 12/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp; 6475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.85%, 6/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5750 | &nbsp;&nbsp;&nbsp;&nbsp; 5887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.48%, 6/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2040 |
| &nbsp;&nbsp;&nbsp; Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2021-7A, Class A1R, 5.25%, 1/22/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 24088 | &nbsp;&nbsp;&nbsp;&nbsp; 23997 |
| &nbsp;&nbsp;&nbsp; Barings CLO Ltd. (Cayman Islands) Series 2018-4A, Class A1R, 5.41%, 10/15/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12849 | &nbsp;&nbsp;&nbsp;&nbsp; 12849 |
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund LLC Series 2024-CAR1, Class A, 5.42%, 12/26/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5257 | &nbsp;&nbsp;&nbsp;&nbsp; 5273 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SN1, Class A2, 5.67%, 4/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp;&nbsp;&nbsp; 821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SN1, Class C, 5.83%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1029 | &nbsp;&nbsp;&nbsp;&nbsp; 1040 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 6.67%, 6/25/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO Ltd. (Cayman Islands) Series 2021-32A, Class AR, 5.36%, 10/15/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 27118 | &nbsp;&nbsp;&nbsp;&nbsp; 27089 |
| &nbsp;&nbsp;&nbsp; BOF Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CAR3, Class C, 4.50%, 7/26/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1187 | &nbsp;&nbsp;&nbsp;&nbsp; 1176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CAR3, Class A2, 6.29%, 7/26/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5781 | &nbsp;&nbsp;&nbsp;&nbsp; 5860 |
| &nbsp;&nbsp;&nbsp; BofA Auto Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A3, 5.35%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6975 | &nbsp;&nbsp;&nbsp;&nbsp; 7044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A4, 5.31%, 6/17/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4260 | &nbsp;&nbsp;&nbsp;&nbsp; 4327 |
| &nbsp;&nbsp;&nbsp; Bridge Trust Series 2022-SFR1, Class B, 4.15%, 11/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10575 | &nbsp;&nbsp;&nbsp;&nbsp; 10501 |
| &nbsp;&nbsp;&nbsp; Bridgecrest Lending Auto Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A3, 5.53%, 1/18/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2267 | &nbsp;&nbsp;&nbsp;&nbsp; 2271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, 5.43%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 5516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, 5.65%, 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 6790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3, Class C, 5.70%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10434 | &nbsp;&nbsp;&nbsp;&nbsp; 10540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class B, 6.80%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1546 | &nbsp;&nbsp;&nbsp;&nbsp; 1563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class C, 7.10%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6950 | &nbsp;&nbsp;&nbsp;&nbsp; 7128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 5.94%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp; 1087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class C, 6.07%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10360 | &nbsp;&nbsp;&nbsp;&nbsp; 10527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class B, 4.77%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class C, 4.83%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6440 | &nbsp;&nbsp;&nbsp;&nbsp; 6416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, 5.64%, 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 6819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class D, 5.62%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2018 |
| &nbsp;&nbsp;&nbsp; BRSP Ltd. Series 2021-FL1, Class A, 5.59%, 8/19/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2278 | &nbsp;&nbsp;&nbsp;&nbsp; 2256 |
| &nbsp;&nbsp;&nbsp; BSPRT Issuer Ltd. Series 2021-FL7, Class B, 6.49%, 12/15/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7025 | &nbsp;&nbsp;&nbsp;&nbsp; 6981 |
| &nbsp;&nbsp;&nbsp; Business Jet Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.20%, 5/15/2039 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13162 | &nbsp;&nbsp;&nbsp;&nbsp; 13372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.36%, 9/15/2039 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20670 | &nbsp;&nbsp;&nbsp;&nbsp; 20614 |
| &nbsp;&nbsp;&nbsp; Buttermilk Park CLO Ltd. (Cayman Islands) Series 2018-1A, Class A1R, 5.34%, 10/15/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6002 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 |
| &nbsp;&nbsp;&nbsp; BXMT Ltd. Series 2021-FL4, Class A, 5.49%, 5/15/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3775 | &nbsp;&nbsp;&nbsp;&nbsp; 3744 |
| &nbsp;&nbsp;&nbsp; Carmax Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A3, 4.84%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 11098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class A3, 4.48%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6890 | &nbsp;&nbsp;&nbsp;&nbsp; 6911 |
| &nbsp;&nbsp;&nbsp; CarMax Auto Owner Trust Series 2024-2, Class A3, 5.50%, 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5125 | &nbsp;&nbsp;&nbsp;&nbsp; 5193 |
| &nbsp;&nbsp;&nbsp; CarVal CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class AR, 5.49%, 7/16/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15610 | &nbsp;&nbsp;&nbsp;&nbsp; 15633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class AR2, 5.29%, 4/20/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26847 | &nbsp;&nbsp;&nbsp;&nbsp; 26815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR2, 5.26%, 7/20/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9864 | &nbsp;&nbsp;&nbsp;&nbsp; 9845 |
| &nbsp;&nbsp;&nbsp; CarVal CLO VC Ltd. (Cayman Islands) Series 2021-2A, Class A, 5.72%, 10/15/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp; 1107 |
| &nbsp;&nbsp;&nbsp; Carvana Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-N1, Class B, 5.85%, 11/10/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12448 | &nbsp;&nbsp;&nbsp;&nbsp; 12471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P4, Class A2, 4.62%, 2/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3581 | &nbsp;&nbsp;&nbsp;&nbsp; 3579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-N1, Class A3, 5.60%, 3/10/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6500 | &nbsp;&nbsp;&nbsp;&nbsp; 6523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-P2, Class B, 5.08%, 4/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4175 | &nbsp;&nbsp;&nbsp;&nbsp; 4202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-P3, Class A3, 5.82%, 8/10/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3077 | &nbsp;&nbsp;&nbsp;&nbsp; 3097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class B, 1.24%, 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 752 | &nbsp;&nbsp;&nbsp;&nbsp; 724 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class C, 1.72%, 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 819 | &nbsp;&nbsp;&nbsp;&nbsp; 790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-P1, Class A4, 5.94%, 1/10/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P1, Class A3, 5.05%, 4/10/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10198 | &nbsp;&nbsp;&nbsp;&nbsp; 10239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P2, Class A3, 5.33%, 7/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7714 | &nbsp;&nbsp;&nbsp;&nbsp; 7785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-P3, Class A4, 5.71%, 7/10/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1750 | &nbsp;&nbsp;&nbsp;&nbsp; 1792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P3, Class A3, 4.26%, 10/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12545 | &nbsp;&nbsp;&nbsp;&nbsp; 12503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P4, Class A3, 4.64%, 1/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp; 6271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P1, Class A4, 5.08%, 3/11/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3250 | &nbsp;&nbsp;&nbsp;&nbsp; 3298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P1, Class B, 5.37%, 5/10/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5700 | &nbsp;&nbsp;&nbsp;&nbsp; 5792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-N1, Class B, 5.63%, 5/10/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14857 | &nbsp;&nbsp;&nbsp;&nbsp; 15021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P2, Class B, 5.38%, 8/12/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8186 | &nbsp;&nbsp;&nbsp;&nbsp; 8352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P3, Class A4, 4.31%, 9/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-N3, Class B, 4.67%, 12/10/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 13447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P4, Class A4, 4.74%, 12/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5037 |
| &nbsp;&nbsp;&nbsp; CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB13, Class A, 3.00%, 5/25/2034 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3173 | &nbsp;&nbsp;&nbsp;&nbsp; 3111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HB9, Class A, 3.25%, 9/25/2037 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3784 | &nbsp;&nbsp;&nbsp;&nbsp; 3710 |
| &nbsp;&nbsp;&nbsp; Cherry Securitization Trust Series 2024-1A, Class A, 5.70%, 4/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12115 | &nbsp;&nbsp;&nbsp;&nbsp; 12193 |
| &nbsp;&nbsp;&nbsp; CIFC Funding Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class AR3, 5.27%, 10/21/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25300 | &nbsp;&nbsp;&nbsp;&nbsp; 25261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1R, 5.24%, 4/19/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23000 | &nbsp;&nbsp;&nbsp;&nbsp; 22902 |
| &nbsp;&nbsp;&nbsp; Clarus Capital Funding LLC Series 2024-1A, Class A2, 4.71%, 8/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8553 | &nbsp;&nbsp;&nbsp;&nbsp; 8547 |
| &nbsp;&nbsp;&nbsp; Columbia Cent CLO Ltd. (Cayman Islands) Series 2021-31A, Class A1R, 5.37%, 4/20/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 29000 | &nbsp;&nbsp;&nbsp;&nbsp; 28971 |
| &nbsp;&nbsp;&nbsp; Consumer Portfolio Services Auto Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-B, Class B, 4.79%, 11/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7600 | &nbsp;&nbsp;&nbsp;&nbsp; 7592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-B, Class C, 5.12%, 7/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3503 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class A, 1.17%, 12/15/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1492 | &nbsp;&nbsp;&nbsp;&nbsp; 1472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class A, 1.36%, 8/15/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 953 | &nbsp;&nbsp;&nbsp;&nbsp; 935 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class D, 2.84%, 4/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4125 | &nbsp;&nbsp;&nbsp;&nbsp; 4081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2250 | &nbsp;&nbsp;&nbsp;&nbsp; 2288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class C, 5.28%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4715 | &nbsp;&nbsp;&nbsp;&nbsp; 4719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5040 | &nbsp;&nbsp;&nbsp;&nbsp; 5101 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.48%, 3/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1739 | &nbsp;&nbsp;&nbsp;&nbsp; 1749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A, 5.92%, 5/16/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9250 | &nbsp;&nbsp;&nbsp;&nbsp; 9282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 7.02%, 5/16/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class B, 6.61%, 7/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class C, 7.71%, 7/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 6.39%, 8/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1858 | &nbsp;&nbsp;&nbsp;&nbsp; 1875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class B, 7.09%, 10/17/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp; 1386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 7.62%, 12/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5952 | &nbsp;&nbsp;&nbsp;&nbsp; 6170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class B, 6.71%, 2/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.68%, 3/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14025 | &nbsp;&nbsp;&nbsp;&nbsp; 14186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class C, 7.30%, 4/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8892 | &nbsp;&nbsp;&nbsp;&nbsp; 9225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.95%, 6/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7714 | &nbsp;&nbsp;&nbsp;&nbsp; 7827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.71%, 7/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15450 | &nbsp;&nbsp;&nbsp;&nbsp; 15907 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 6.11%, 8/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 8185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A, 4.68%, 9/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9381 | &nbsp;&nbsp;&nbsp;&nbsp; 9391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 6.70%, 10/16/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class B, 4.85%, 11/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9343 | &nbsp;&nbsp;&nbsp;&nbsp; 9331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.39%, 1/16/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.02%, 3/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16800 | &nbsp;&nbsp;&nbsp;&nbsp; 16900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class C, 5.71%, 7/16/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6615 | &nbsp;&nbsp;&nbsp;&nbsp; 6704 |
| &nbsp;&nbsp;&nbsp; Crossroads Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A2, 5.90%, 8/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5622 | &nbsp;&nbsp;&nbsp;&nbsp; 5684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.94%, 8/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3945 | &nbsp;&nbsp;&nbsp;&nbsp; 3999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 6.35%, 4/21/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 844 | &nbsp;&nbsp;&nbsp;&nbsp; 846 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 5.34%, 10/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp; Dell Equipment Finance Trust Series 2025-1, Class A3, 4.61%, 2/24/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3250 | &nbsp;&nbsp;&nbsp;&nbsp; 3267 |
| &nbsp;&nbsp;&nbsp; Dext ABS LLC Series 2025-1, Class A3, 4.77%, 8/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13625 | &nbsp;&nbsp;&nbsp;&nbsp; 13592 |
| &nbsp;&nbsp;&nbsp; Diamond Resorts Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 873 | &nbsp;&nbsp;&nbsp;&nbsp; 865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.05%, 11/21/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp;&nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp; DLLAA LLC Series 2025-1A, Class A3, 4.95%, 9/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 8087 |
| &nbsp;&nbsp;&nbsp; Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, 5.31%, 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3750 | &nbsp;&nbsp;&nbsp;&nbsp; 3764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 4.52%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 20728 | &nbsp;&nbsp;&nbsp;&nbsp; 20680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, 5.43%, 11/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7142 | &nbsp;&nbsp;&nbsp;&nbsp; 7226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class C, 4.67%, 5/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10137 | &nbsp;&nbsp;&nbsp;&nbsp; 10082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, 4.99%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, 5.41%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3800 | &nbsp;&nbsp;&nbsp;&nbsp; 3802 |
| &nbsp;&nbsp;&nbsp; Driven Brands Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A2, 4.64%, 4/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1121 | &nbsp;&nbsp;&nbsp;&nbsp; 1112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A2, 7.39%, 10/20/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7849 | &nbsp;&nbsp;&nbsp;&nbsp; 7900 |
| &nbsp;&nbsp;&nbsp; Dryden CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-72A, Class ARR, 5.43%, 5/15/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11198 | &nbsp;&nbsp;&nbsp;&nbsp; 11195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-68A, Class ARR, 5.36%, 7/15/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1999 |
| &nbsp;&nbsp;&nbsp; Dryden Senior Loan Fund (Cayman Islands) Series 2017-49A, Class AR, 5.48%, 7/18/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp; DT Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 679 | &nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6178 | &nbsp;&nbsp;&nbsp;&nbsp; 6071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5900 | &nbsp;&nbsp;&nbsp;&nbsp; 5950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13425 | &nbsp;&nbsp;&nbsp;&nbsp; 13455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1993 | &nbsp;&nbsp;&nbsp;&nbsp; 2019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6746 | &nbsp;&nbsp;&nbsp;&nbsp; 6842 |
| &nbsp;&nbsp;&nbsp; Elara HGV Timeshare Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.36%, 8/27/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 1.74%, 8/27/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 478 | &nbsp;&nbsp;&nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO Ltd. (Cayman Islands) Series 2021-3A, Class A1R, 5.54%, 4/20/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 21665 | &nbsp;&nbsp;&nbsp;&nbsp; 21684 |
| &nbsp;&nbsp;&nbsp; Equify ABS LLC Series 2023-1A, Class A, 7.20%, 9/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1513 | &nbsp;&nbsp;&nbsp;&nbsp; 1515 |
| &nbsp;&nbsp;&nbsp; Exeter Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class B, 6.11%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp; 507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 5.61%, 4/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1919 | &nbsp;&nbsp;&nbsp;&nbsp; 1923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.21%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6815 | &nbsp;&nbsp;&nbsp;&nbsp; 6864 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class C, 6.85%, 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 9188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6A, Class D, 8.03%, 4/6/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6964 | &nbsp;&nbsp;&nbsp;&nbsp; 7207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.74%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 15216 | &nbsp;&nbsp;&nbsp;&nbsp; 15375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 4.91%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3164 | &nbsp;&nbsp;&nbsp;&nbsp; 3172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class D, 7.13%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3300 | &nbsp;&nbsp;&nbsp;&nbsp; 3426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 5.09%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp; 6271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class D, 5.57%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5032 |
| &nbsp;&nbsp;&nbsp; FHF Issuer Trust Series 2024-3A, Class A2, 5.04%, 11/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31012 | &nbsp;&nbsp;&nbsp;&nbsp; 31039 |
| &nbsp;&nbsp;&nbsp; FHF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 0.83%, 12/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2, 6.57%, 6/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3794 | &nbsp;&nbsp;&nbsp;&nbsp; 3827 |
| &nbsp;&nbsp;&nbsp; First Investors Auto Owner Trust Series 2023-1A, Class B, 6.55%, 12/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5685 | &nbsp;&nbsp;&nbsp;&nbsp; 5822 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class A, 1.34%, 8/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5665 | &nbsp;&nbsp;&nbsp;&nbsp; 5604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class C, 1.94%, 8/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2307 | &nbsp;&nbsp;&nbsp;&nbsp; 2282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6135 | &nbsp;&nbsp;&nbsp;&nbsp; 6037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 1.79%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5165 | &nbsp;&nbsp;&nbsp;&nbsp; 4962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 12483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class B, 4.49%, 5/19/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class C, 4.64%, 5/19/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class B, 4.50%, 7/17/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9500 | &nbsp;&nbsp;&nbsp;&nbsp; 9369 |
| &nbsp;&nbsp;&nbsp; Flagship Credit Auto Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class D, 2.50%, 9/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2322 | &nbsp;&nbsp;&nbsp;&nbsp; 2312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10694 | &nbsp;&nbsp;&nbsp;&nbsp; 10594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6666 | &nbsp;&nbsp;&nbsp;&nbsp; 6622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3, Class C, 6.01%, 7/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2550 | &nbsp;&nbsp;&nbsp;&nbsp; 2591 |
| &nbsp;&nbsp;&nbsp; Foundation Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 3.54%, 7/16/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 523 | &nbsp;&nbsp;&nbsp;&nbsp; 522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6069 | &nbsp;&nbsp;&nbsp;&nbsp; 5675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.95%, 4/15/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12886 | &nbsp;&nbsp;&nbsp;&nbsp; 12906 |
| &nbsp;&nbsp;&nbsp; FRTKL |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4050 | &nbsp;&nbsp;&nbsp;&nbsp; 3886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4960 | &nbsp;&nbsp;&nbsp;&nbsp; 4745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class C, 1.92%, 9/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4789 |
| &nbsp;&nbsp;&nbsp; Galaxy CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-26A, Class AR, 5.50%, 11/22/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4827 | &nbsp;&nbsp;&nbsp;&nbsp; 4828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-30A, Class XR, 5.36%, 1/15/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2187 | &nbsp;&nbsp;&nbsp;&nbsp; 2186 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class B, 4.97%, 10/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 5.64%, 12/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4925 | &nbsp;&nbsp;&nbsp;&nbsp; 4975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class C, 5.11%, 1/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11500 | &nbsp;&nbsp;&nbsp;&nbsp; 11554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class D, 5.59%, 1/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp; 6293 |
| &nbsp;&nbsp;&nbsp; GLS Auto Select Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A2, 6.37%, 6/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2407 | &nbsp;&nbsp;&nbsp;&nbsp; 2427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A3, 5.96%, 10/16/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 6.09%, 3/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp; 3474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A2, 5.59%, 10/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4796 | &nbsp;&nbsp;&nbsp;&nbsp; 4845 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4A, Class A2, 4.43%, 12/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7588 | &nbsp;&nbsp;&nbsp;&nbsp; 7564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.24%, 3/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5923 | &nbsp;&nbsp;&nbsp;&nbsp; 5950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.32%, 3/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 5.69%, 3/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 973 | &nbsp;&nbsp;&nbsp;&nbsp; 990 |
| &nbsp;&nbsp;&nbsp; Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3622 | &nbsp;&nbsp;&nbsp;&nbsp; 3531 |
| &nbsp;&nbsp;&nbsp; Granite Park Equipment Leasing LLC Series 2023-1A, Class A3, 6.46%, 9/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7900 | &nbsp;&nbsp;&nbsp;&nbsp; 8066 |
| &nbsp;&nbsp;&nbsp; GreatAmerica Leasing Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A2, 4.52%, 10/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3600 | &nbsp;&nbsp;&nbsp;&nbsp; 3595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A3, 4.49%, 4/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6616 | &nbsp;&nbsp;&nbsp;&nbsp; 6605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A4, 4.58%, 1/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5138 | &nbsp;&nbsp;&nbsp;&nbsp; 5124 |
| &nbsp;&nbsp;&nbsp; GreenSky Home Improvement Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A4, 5.15%, 10/27/2059 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 719 | &nbsp;&nbsp;&nbsp;&nbsp; 723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 5.12%, 3/25/2060 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6488 | &nbsp;&nbsp;&nbsp;&nbsp; 6489 |
| &nbsp;&nbsp;&nbsp; GreenSky Home Improvement Trust Series 2024-1, Class A2, 5.88%, 6/25/2059 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5371 | &nbsp;&nbsp;&nbsp;&nbsp; 5404 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust Series 2025-SL1, Class A1, 5.85%, 11/25/2067 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23018 | &nbsp;&nbsp;&nbsp;&nbsp; 23072 |
| &nbsp;&nbsp;&nbsp; Harley-Davidson Motorcycle Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.37%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 15539 | &nbsp;&nbsp;&nbsp;&nbsp; 15693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 4.31%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8867 | &nbsp;&nbsp;&nbsp;&nbsp; 8840 |
| &nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4A, Class A, 3.73%, 9/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 760 | &nbsp;&nbsp;&nbsp;&nbsp; 758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 5.94%, 2/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 10757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A, 5.57%, 9/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7112 |
| &nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LP Series 2021-2A, Class B, 2.12%, 12/27/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3650 | &nbsp;&nbsp;&nbsp;&nbsp; 3474 |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.72%, 1/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1669 | &nbsp;&nbsp;&nbsp;&nbsp; 1693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.50%, 3/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1271 | &nbsp;&nbsp;&nbsp;&nbsp; 1288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 2.74%, 2/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A, 4.98%, 8/27/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9775 | &nbsp;&nbsp;&nbsp;&nbsp; 9790 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class A, 1.90%, 12/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1228 | &nbsp;&nbsp;&nbsp;&nbsp; 1175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class B, 2.30%, 12/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18238 | &nbsp;&nbsp;&nbsp;&nbsp; 17441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class D, 4.73%, 4/17/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16224 | &nbsp;&nbsp;&nbsp;&nbsp; 15928 |
| &nbsp;&nbsp;&nbsp; Honda Auto Receivables Owner Trust Series 2024-1, Class A3, 5.21%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 18416 | &nbsp;&nbsp;&nbsp;&nbsp; 18571 |
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B2, 5.73%, 5/20/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11521 | &nbsp;&nbsp;&nbsp;&nbsp; 11567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B1, 5.44%, 10/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4420 | &nbsp;&nbsp;&nbsp;&nbsp; 4445 |
| &nbsp;&nbsp;&nbsp; Hyundai Auto Lease Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.83%, 1/18/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4817 | &nbsp;&nbsp;&nbsp;&nbsp; 4842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A4, 5.07%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-B, Class A3, 4.53%, 4/17/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12042 |
| &nbsp;&nbsp;&nbsp; Hyundai Auto Receivables Trust Series 2024-A, Class A3, 4.99%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9487 | &nbsp;&nbsp;&nbsp;&nbsp; 9558 |
| &nbsp;&nbsp;&nbsp; John Deere Owner Trust Series 2024-C, Class A4, 4.15%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6830 | &nbsp;&nbsp;&nbsp;&nbsp; 6787 |
| &nbsp;&nbsp;&nbsp; KKR Static CLO Ltd. (Cayman Islands) Series 2022-1A, Class AR2, 5.25%, 7/20/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14934 | &nbsp;&nbsp;&nbsp;&nbsp; 14905 |
| &nbsp;&nbsp;&nbsp; LCM LP (Cayman Islands) Series 14A, Class AR, 5.57%, 7/20/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2702 | &nbsp;&nbsp;&nbsp;&nbsp; 2703 |
| &nbsp;&nbsp;&nbsp; LCM Ltd. (Cayman Islands) Series 36A, Class A1R, 5.33%, 1/15/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 24873 | &nbsp;&nbsp;&nbsp;&nbsp; 24811 |
| &nbsp;&nbsp;&nbsp; Lendbuzz Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 4.22%, 5/17/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4733 | &nbsp;&nbsp;&nbsp;&nbsp; 4719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A2, 7.09%, 10/16/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1733 | &nbsp;&nbsp;&nbsp;&nbsp; 1760 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Lendmark Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 2.00%, 4/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4888 | &nbsp;&nbsp;&nbsp;&nbsp; 4618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 4.47%, 2/21/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8625 | &nbsp;&nbsp;&nbsp;&nbsp; 8546 |
| &nbsp;&nbsp;&nbsp; M&T Equipment Notes Series 2023-1A, Class A3, 5.74%, 7/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11454 | &nbsp;&nbsp;&nbsp;&nbsp; 11512 |
| &nbsp;&nbsp;&nbsp; Magnetite Ltd. (Cayman Islands) Series 2015-15A, Class AR, 5.55%, 7/25/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 197 |
| &nbsp;&nbsp;&nbsp; Marble Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class A1R2, 5.32%, 7/23/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10242 | &nbsp;&nbsp;&nbsp;&nbsp; 10229 |
| &nbsp;&nbsp;&nbsp; Mariner Finance Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-AA, Class A, 6.70%, 10/22/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14800 | &nbsp;&nbsp;&nbsp;&nbsp; 14893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15923 | &nbsp;&nbsp;&nbsp;&nbsp; 15355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AA, Class A, 5.13%, 9/22/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13441 | &nbsp;&nbsp;&nbsp;&nbsp; 13542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class B, 5.33%, 5/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class C, 5.69%, 5/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2720 | &nbsp;&nbsp;&nbsp;&nbsp; 2742 |
| &nbsp;&nbsp;&nbsp; Merchants Fleet Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7653 | &nbsp;&nbsp;&nbsp;&nbsp; 7719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.82%, 4/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 21657 | &nbsp;&nbsp;&nbsp;&nbsp; 21790 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust Series 2024-2A, Class A, 6.56%, 7/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12886 | &nbsp;&nbsp;&nbsp;&nbsp; 12993 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital I, Inc. Trust Series 2003-SD1, Class M1, 6.69%, 3/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp; MVW LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 1.74%, 10/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 669 | &nbsp;&nbsp;&nbsp;&nbsp; 647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 4.43%, 3/20/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7495 | &nbsp;&nbsp;&nbsp;&nbsp; 7359 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 5.44%, 10/15/2029 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6379 | &nbsp;&nbsp;&nbsp;&nbsp; 6381 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-42A, Class AR, 5.21%, 7/16/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17250 | &nbsp;&nbsp;&nbsp;&nbsp; 17195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-49A, Class AR, 5.43%, 7/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19596 | &nbsp;&nbsp;&nbsp;&nbsp; 19590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-38A, Class AR2, 5.23%, 10/20/2036 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 13926 |
| &nbsp;&nbsp;&nbsp; New Economy Assets-Phase 1 Sponsor LLC Series 2021-1, Class A1, 1.91%, 10/20/2061 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1816 | &nbsp;&nbsp;&nbsp;&nbsp; 1704 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class B, 3.75%, 9/4/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class C, 3.75%, 9/4/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 10597 |
| &nbsp;&nbsp;&nbsp; Nissan Auto Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A2A, 5.11%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2583 | &nbsp;&nbsp;&nbsp;&nbsp; 2586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.91%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5714 | &nbsp;&nbsp;&nbsp;&nbsp; 5732 |
| &nbsp;&nbsp;&nbsp; NMEF Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 3.35%, 10/16/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp;&nbsp;&nbsp; 464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A2, 6.57%, 6/17/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4406 | &nbsp;&nbsp;&nbsp;&nbsp; 4435 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2224 | &nbsp;&nbsp;&nbsp;&nbsp; 2141 |
| &nbsp;&nbsp;&nbsp; OCP CLO Ltd. (Cayman Islands) Series 2017-13A, Class AR2, 5.61%, 11/26/2037 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2300 | &nbsp;&nbsp;&nbsp;&nbsp; 2304 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners Ltd. (Cayman Islands) Series 2018-18A, Class A1A, 5.48%, 4/16/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1834 | &nbsp;&nbsp;&nbsp;&nbsp; 1833 |
| &nbsp;&nbsp;&nbsp; Octane Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 2.02%, 9/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4423 | &nbsp;&nbsp;&nbsp;&nbsp; 4372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.87%, 5/21/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1389 | &nbsp;&nbsp;&nbsp;&nbsp; 1392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 5.96%, 7/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6348 | &nbsp;&nbsp;&nbsp;&nbsp; 6384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.68%, 5/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9945 | &nbsp;&nbsp;&nbsp;&nbsp; 10013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 5.77%, 7/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.90%, 7/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2530 |
| &nbsp;&nbsp;&nbsp; OnDeck Asset Securitization Trust LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5850 | &nbsp;&nbsp;&nbsp;&nbsp; 5899 |
| &nbsp;&nbsp;&nbsp; Oportun Funding Trust Series 2024-3, Class A, 5.26%, 8/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11181 | &nbsp;&nbsp;&nbsp;&nbsp; 11181 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Oportun Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2461 | &nbsp;&nbsp;&nbsp;&nbsp; 2398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class A, 2.18%, 10/8/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11819 | &nbsp;&nbsp;&nbsp;&nbsp; 11524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A, 5.01%, 2/8/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class B, 5.30%, 2/8/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class C, 5.89%, 2/8/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6986 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Debt Selection Trust Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, 5.31%, 4/15/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2057 | &nbsp;&nbsp;&nbsp;&nbsp; 2055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A1R, 5.33%, 1/25/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12167 | &nbsp;&nbsp;&nbsp;&nbsp; 12155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A1, 5.39%, 8/8/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13169 | &nbsp;&nbsp;&nbsp;&nbsp; 13161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, 5.12%, 2/15/2033 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 22250 | &nbsp;&nbsp;&nbsp;&nbsp; 22123 |
| &nbsp;&nbsp;&nbsp; PEAC Solutions Receivables LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A2, 4.74%, 4/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8927 | &nbsp;&nbsp;&nbsp;&nbsp; 8922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.79%, 6/21/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10759 | &nbsp;&nbsp;&nbsp;&nbsp; 10828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 4.94%, 10/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17740 | &nbsp;&nbsp;&nbsp;&nbsp; 17765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A3, 4.65%, 10/20/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A3, 5.04%, 7/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5037 |
| &nbsp;&nbsp;&nbsp; Post Road Equipment Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.59%, 11/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11440 | &nbsp;&nbsp;&nbsp;&nbsp; 11492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 4.90%, 5/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7773 | &nbsp;&nbsp;&nbsp;&nbsp; 7798 |
| &nbsp;&nbsp;&nbsp; PowerPay Issuance Trust Series 2024-1A, Class A, 6.53%, 2/18/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2083 | &nbsp;&nbsp;&nbsp;&nbsp; 2124 |
| &nbsp;&nbsp;&nbsp; Progress Residential |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class B, 1.89%, 5/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16067 | &nbsp;&nbsp;&nbsp;&nbsp; 15720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp;&nbsp;&nbsp; 1764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR4, Class B, 1.81%, 5/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8800 | &nbsp;&nbsp;&nbsp;&nbsp; 8595 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7246 | &nbsp;&nbsp;&nbsp;&nbsp; 7039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class B, 1.75%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17500 | &nbsp;&nbsp;&nbsp;&nbsp; 16978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class B, 1.68%, 10/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 8656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4650 | &nbsp;&nbsp;&nbsp;&nbsp; 4489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR6, Class B, 5.00%, 7/20/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class C, 3.40%, 4/17/2041 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 13015 |
| &nbsp;&nbsp;&nbsp; PRPM LLC Series 2021-4, Class A1, 5.87%, 4/25/2026 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 4196 | &nbsp;&nbsp;&nbsp;&nbsp; 4198 |
| &nbsp;&nbsp;&nbsp; Purewest ABS Issuer LLC Series 2025-1, Class A1, 5.69%, 4/5/2040 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19776 | &nbsp;&nbsp;&nbsp;&nbsp; 19841 |
| &nbsp;&nbsp;&nbsp; Reach ABS Trust Series 2025-1A, Class A, 4.96%, 8/16/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4671 | &nbsp;&nbsp;&nbsp;&nbsp; 4667 |
| &nbsp;&nbsp;&nbsp; Regional Management Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.68%, 3/17/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1158 | &nbsp;&nbsp;&nbsp;&nbsp; 1153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class A, 1.90%, 8/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1103 | &nbsp;&nbsp;&nbsp;&nbsp; 1044 |
| &nbsp;&nbsp;&nbsp; Republic Finance Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 2.30%, 12/22/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3988 | &nbsp;&nbsp;&nbsp;&nbsp; 3959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 2.80%, 12/22/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A, 5.42%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14486 | &nbsp;&nbsp;&nbsp;&nbsp; 14619 |
| &nbsp;&nbsp;&nbsp; Santander Bank Auto Credit-Linked Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A2, 5.61%, 6/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2123 | &nbsp;&nbsp;&nbsp;&nbsp; 2150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.62%, 6/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3537 | &nbsp;&nbsp;&nbsp;&nbsp; 3559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class C, 5.82%, 6/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8621 | &nbsp;&nbsp;&nbsp;&nbsp; 8669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class D, 6.11%, 6/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2652 | &nbsp;&nbsp;&nbsp;&nbsp; 2668 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class B, 6.45%, 12/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class D, 6.66%, 12/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2055 |
| &nbsp;&nbsp;&nbsp; Santander Consumer Auto Receivables Trust Series 2021-AA, Class C, 1.03%, 11/16/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 508 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class D, 1.35%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 564 | &nbsp;&nbsp;&nbsp;&nbsp; 562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class D, 1.33%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 752 | &nbsp;&nbsp;&nbsp;&nbsp; 748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4, Class B, 5.77%, 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7291 | &nbsp;&nbsp;&nbsp;&nbsp; 7372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-6, Class B, 5.98%, 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class C, 4.49%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12595 | &nbsp;&nbsp;&nbsp;&nbsp; 12572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class B, 4.93%, 9/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 817 | &nbsp;&nbsp;&nbsp;&nbsp; 821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class C, 5.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 20750 | &nbsp;&nbsp;&nbsp;&nbsp; 20812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3, Class C, 5.77%, 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5, Class D, 5.67%, 12/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 16625 | &nbsp;&nbsp;&nbsp;&nbsp; 16761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5, Class C, 4.78%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2249 | &nbsp;&nbsp;&nbsp;&nbsp; 2243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6, Class D, 5.69%, 2/18/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 10697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5, Class C, 6.43%, 2/18/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 6985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 4.88%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3900 | &nbsp;&nbsp;&nbsp;&nbsp; 3920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, 5.04%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4600 | &nbsp;&nbsp;&nbsp;&nbsp; 4628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, 5.43%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7234 | &nbsp;&nbsp;&nbsp;&nbsp; 7298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class B, 4.87%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8840 | &nbsp;&nbsp;&nbsp;&nbsp; 8903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class D, 6.28%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp; 4825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4, Class C, 6.04%, 12/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14925 | &nbsp;&nbsp;&nbsp;&nbsp; 15275 |
| &nbsp;&nbsp;&nbsp; SBNA Auto Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.39%, 11/20/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19499 | &nbsp;&nbsp;&nbsp;&nbsp; 19539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 5.56%, 11/22/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1560 | &nbsp;&nbsp;&nbsp;&nbsp; 1573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A4, 5.55%, 12/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 9129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A4, 5.24%, 1/22/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4025 |
| &nbsp;&nbsp;&nbsp; SBNA Auto Receivables Trust Series 2024-A, Class D, 6.04%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2033 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A3, 5.52%, 1/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7073 | &nbsp;&nbsp;&nbsp;&nbsp; 7244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, 6.50%, 2/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1590 | &nbsp;&nbsp;&nbsp;&nbsp; 1593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A3, 6.17%, 5/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4057 | &nbsp;&nbsp;&nbsp;&nbsp; 4099 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Trust LLC Series 2025-1A, Class A2, 4.82%, 7/22/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7506 | &nbsp;&nbsp;&nbsp;&nbsp; 7515 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A, 1.33%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class B, 2.32%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 383 | &nbsp;&nbsp;&nbsp;&nbsp; 380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 0.99%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 537 | &nbsp;&nbsp;&nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 1.34%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp;&nbsp; 323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 1.79%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp;&nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class B, 6.32%, 7/20/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp;&nbsp; 785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, 5.04%, 6/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 6.36%, 6/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp; 396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.14%, 6/20/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7146 | &nbsp;&nbsp;&nbsp;&nbsp; 7189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.81%, 1/21/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4985 | &nbsp;&nbsp;&nbsp;&nbsp; 4983 |
| &nbsp;&nbsp;&nbsp; Stonepeak ABS Series 2021-1A, 2.30%, 2/28/2033 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3325 | &nbsp;&nbsp;&nbsp;&nbsp; 3177 |
| &nbsp;&nbsp;&nbsp; Stream Innovations Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.21%, 2/15/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3929 | &nbsp;&nbsp;&nbsp;&nbsp; 3940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.05%, 9/15/2045 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15026 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Symphony CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-19A, Class A, 5.48%, 4/16/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1704 | &nbsp;&nbsp;&nbsp;&nbsp; 1705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-16A, Class ARR, 5.46%, 10/15/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13082 | &nbsp;&nbsp;&nbsp;&nbsp; 13085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-20A, Class AR2, 5.36%, 1/16/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14664 | &nbsp;&nbsp;&nbsp;&nbsp; 14673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-23A, Class AR2, 5.16%, 1/15/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23557 | &nbsp;&nbsp;&nbsp;&nbsp; 23515 |
| &nbsp;&nbsp;&nbsp; TCI-Symphony CLO Ltd. (Cayman Islands) Series 2016-1A, Class AR2, 5.52%, 10/13/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3550 | &nbsp;&nbsp;&nbsp;&nbsp; 3554 |
| &nbsp;&nbsp;&nbsp; Tesla Auto Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.30%, 6/21/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16104 | &nbsp;&nbsp;&nbsp;&nbsp; 16153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 4.82%, 10/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7666 | &nbsp;&nbsp;&nbsp;&nbsp; 7681 |
| &nbsp;&nbsp;&nbsp; Theorem Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A, 6.06%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A, 7.60%, 4/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 437 | &nbsp;&nbsp;&nbsp;&nbsp; 438 |
| &nbsp;&nbsp;&nbsp; THL Credit Wind River CLO Ltd. (Cayman Islands) Series 2019-3A, Class AR2, 5.32%, 4/15/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7823 | &nbsp;&nbsp;&nbsp;&nbsp; 7818 |
| &nbsp;&nbsp;&nbsp; Toyota Lease Owner Trust Series 2024-A, Class A3, 5.25%, 4/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17568 | &nbsp;&nbsp;&nbsp;&nbsp; 17652 |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class A, 1.94%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1792 | &nbsp;&nbsp;&nbsp;&nbsp; 1733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 2.24%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp;&nbsp;&nbsp; 3969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class A, 4.75%, 6/17/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11382 | &nbsp;&nbsp;&nbsp;&nbsp; 11334 |
| &nbsp;&nbsp;&nbsp; Upgrade Receivables Trust Series 2024-1A, Class A, 5.37%, 2/18/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4503 |
| &nbsp;&nbsp;&nbsp; Upstart Pass-Through Trust Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp; Upstart Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 461 | &nbsp;&nbsp;&nbsp;&nbsp; 461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 5.45%, 4/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18000 | &nbsp;&nbsp;&nbsp;&nbsp; 17913 |
| &nbsp;&nbsp;&nbsp; US Bank NA Series 2023-1, Class B, 6.79%, 8/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7024 | &nbsp;&nbsp;&nbsp;&nbsp; 7108 |
| &nbsp;&nbsp;&nbsp; Verdant Receivables LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.68%, 12/12/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4356 | &nbsp;&nbsp;&nbsp;&nbsp; 4416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A3, 4.96%, 5/12/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11300 | &nbsp;&nbsp;&nbsp;&nbsp; 11317 |
| &nbsp;&nbsp;&nbsp; Veros Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class C, 5.03%, 8/16/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1854 | &nbsp;&nbsp;&nbsp;&nbsp; 1850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 6.28%, 11/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1393 | &nbsp;&nbsp;&nbsp;&nbsp; 1399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 5.31%, 9/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4825 | &nbsp;&nbsp;&nbsp;&nbsp; 4828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A, 7.12%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 496 | &nbsp;&nbsp;&nbsp;&nbsp; 497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class B, 7.17%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class C, 8.32%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class D, 7.23%, 7/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2750 | &nbsp;&nbsp;&nbsp;&nbsp; 2763 |
| &nbsp;&nbsp;&nbsp; VFI ABS LLC Series 2023-1A, Class A, 7.27%, 3/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1734 | &nbsp;&nbsp;&nbsp;&nbsp; 1744 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2062 | &nbsp;&nbsp;&nbsp;&nbsp; 2058 |
| &nbsp;&nbsp;&nbsp; VOLT CI LLC Series 2021-NP10, Class A1, 5.99%, 5/25/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3115 | &nbsp;&nbsp;&nbsp;&nbsp; 3107 |
| &nbsp;&nbsp;&nbsp; VOLT CIII LLC Series 2021-CF1, Class A1, 4.99%, 8/25/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 7239 | &nbsp;&nbsp;&nbsp;&nbsp; 7235 |
| &nbsp;&nbsp;&nbsp; VOLT XCIII LLC Series 2021-NPL2, Class A1, 5.89%, 2/27/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 751 | &nbsp;&nbsp;&nbsp;&nbsp; 750 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 6.24%, 2/27/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1669 | &nbsp;&nbsp;&nbsp;&nbsp; 1667 |
| &nbsp;&nbsp;&nbsp; VOLT XCIX LLC Series 2021-NPL8, Class A1, 6.12%, 4/25/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1010 | &nbsp;&nbsp;&nbsp;&nbsp; 1009 |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2854 | &nbsp;&nbsp;&nbsp;&nbsp; 2851 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 6.12%, 3/27/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1125 | &nbsp;&nbsp;&nbsp;&nbsp; 1124 |
| &nbsp;&nbsp;&nbsp; VOLT XCVII LLC Series 2021-NPL6, Class A1, 6.24%, 4/25/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1739 | &nbsp;&nbsp;&nbsp;&nbsp; 1736 |
| &nbsp;&nbsp;&nbsp; Volvo Financial Equipment LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A3, 4.29%, 10/16/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11818 | &nbsp;&nbsp;&nbsp;&nbsp; 11796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A3, 4.46%, 5/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8108 | &nbsp;&nbsp;&nbsp;&nbsp; 8111 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Voya CLO Ltd. (Cayman Islands) Series 2018-1A, Class A2, 5.83%, 4/19/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4506 |
| &nbsp;&nbsp;&nbsp; VStrong Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 6.87%, 11/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5103 | &nbsp;&nbsp;&nbsp;&nbsp; 5118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class B, 7.11%, 2/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5375 | &nbsp;&nbsp;&nbsp;&nbsp; 5487 |
| &nbsp;&nbsp;&nbsp; Westgate Resorts LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 1/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6892 | &nbsp;&nbsp;&nbsp;&nbsp; 6961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 6.56%, 1/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4977 | &nbsp;&nbsp;&nbsp;&nbsp; 5026 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6083 | &nbsp;&nbsp;&nbsp;&nbsp; 6043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class B, 5.92%, 9/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 11066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.02%, 9/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6400 | &nbsp;&nbsp;&nbsp;&nbsp; 6475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4A, Class C, 6.64%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 7.01%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7072 | &nbsp;&nbsp;&nbsp;&nbsp; 7227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 4.92%, 11/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6800 | &nbsp;&nbsp;&nbsp;&nbsp; 6793 |
| &nbsp;&nbsp;&nbsp; Westlake Flooring Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.43%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7750 | &nbsp;&nbsp;&nbsp;&nbsp; 7780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 6.07%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10825 | &nbsp;&nbsp;&nbsp;&nbsp; 10892 |
| &nbsp;&nbsp;&nbsp; Wheels Fleet Lease Funding LLC Series 2024-1A, Class A1, 5.49%, 2/18/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10802 | &nbsp;&nbsp;&nbsp;&nbsp; 10897 |
| &nbsp;&nbsp;&nbsp; Wingspire Equipment Finance LLC Series 2024-1A, Class A2, 4.99%, 9/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13400 | &nbsp;&nbsp;&nbsp;&nbsp; 13384 |
| &nbsp;&nbsp;&nbsp; World Omni Automobile Lease Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.26%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 11571 | &nbsp;&nbsp;&nbsp;&nbsp; 11682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.42%, 4/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8050 | &nbsp;&nbsp;&nbsp;&nbsp; 8036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $2,856,659)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2868723 |
| **U.S. Treasury Obligations — 18.6%** | **U.S. Treasury Obligations — 18.6%** | **U.S. Treasury Obligations — 18.6%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 6/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 79595 | &nbsp;&nbsp;&nbsp;&nbsp; 79606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 8/31/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3685 | &nbsp;&nbsp;&nbsp;&nbsp; 3690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5360 | &nbsp;&nbsp;&nbsp;&nbsp; 5355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3835 | &nbsp;&nbsp;&nbsp;&nbsp; 3828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 983 | &nbsp;&nbsp;&nbsp;&nbsp; 981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 144440 | &nbsp;&nbsp;&nbsp;&nbsp; 144790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 200780 | &nbsp;&nbsp;&nbsp;&nbsp; 201815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 32005 | &nbsp;&nbsp;&nbsp;&nbsp; 32326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 4/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 18000 | &nbsp;&nbsp;&nbsp;&nbsp; 17614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 217785 | &nbsp;&nbsp;&nbsp;&nbsp; 220116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 83100 | &nbsp;&nbsp;&nbsp;&nbsp; 83889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 7/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 19020 | &nbsp;&nbsp;&nbsp;&nbsp; 17642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 174665 | &nbsp;&nbsp;&nbsp;&nbsp; 172754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 384335 | &nbsp;&nbsp;&nbsp;&nbsp; 384230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 10/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 139000 | &nbsp;&nbsp;&nbsp;&nbsp; 128255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3085 | &nbsp;&nbsp;&nbsp;&nbsp; 3102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 24320 | &nbsp;&nbsp;&nbsp;&nbsp; 24455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 206805 | &nbsp;&nbsp;&nbsp;&nbsp; 207467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 83070 | &nbsp;&nbsp;&nbsp;&nbsp; 83829 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6435 | &nbsp;&nbsp;&nbsp;&nbsp; 5987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 198935 | &nbsp;&nbsp;&nbsp;&nbsp; 198298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $2,011,191)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2020029 |
| **Collateralized Mortgage Obligations — 14.5%** | **Collateralized Mortgage Obligations — 14.5%** | **Collateralized Mortgage Obligations — 14.5%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust Series 2003-J3, Class 2A1, 6.25%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust Series 2020-5, Class A1, 1.37%, 5/25/2065 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 661 | &nbsp;&nbsp;&nbsp;&nbsp; 633 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust Series 2003-7, Class 3A, 7.04%, 10/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; Brean Asset-Backed Securities Trust Series 2025-RM10, Class A1, 5.00%, 1/25/2065 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3434 | &nbsp;&nbsp;&nbsp;&nbsp; 3364 |
| &nbsp;&nbsp;&nbsp; Cascade Funding Mortgage Trust Series 2025-HB16, Class A, 3.00%, 3/25/2035 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3630 | &nbsp;&nbsp;&nbsp;&nbsp; 3540 |
| &nbsp;&nbsp;&nbsp; CFMT LLC Series 2024-HB15, Class A, 4.00%, 8/25/2034 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8068 | &nbsp;&nbsp;&nbsp;&nbsp; 7983 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust Series 2004-UST1, Class A6, 7.35%, 8/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp; Connecticut Avenue Securities Trust Series 2022-R02, Class 2M2, 7.32%, 1/25/2042 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1775 | &nbsp;&nbsp;&nbsp;&nbsp; 1817 |
| &nbsp;&nbsp;&nbsp; CRIBS Mortgage Trust Series 2025-RTL1, Class A1, 5.81%, 5/25/2040 ‡ (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2492 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8, Class 6A1, 4.50%, 12/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; CSMC Mortgage-Backed Trust Series 2007-5, Class 5A5, 5.50%, 4/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; FHLMC - GNMA Series 56, Class Z, 7.50%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; FHLMC Structured Pass-Through Securities Certificates Series T-20, Class A6, 7.99%, 9/25/2029 (d) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; FHLMC, Reference REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R003, Class ZA, 5.50%, 10/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 19256 | &nbsp;&nbsp;&nbsp;&nbsp; 19967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R005, Class ZA, 5.50%, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1749 | &nbsp;&nbsp;&nbsp;&nbsp; 1804 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3005, Class ED, 5.00%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3826, Class BK, 3.00%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3864, Class PG, 3.50%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3887, Class GM, 4.00%, 7/15/2026 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3909, Class HG, 4.00%, 8/15/2026 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1888, Class Z, 7.00%, 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3936, Class AB, 3.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3946, Class BU, 3.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3996, Class BA, 1.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4015, Class GL, 2.25%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4020, Class N, 3.00%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4054, Class AE, 1.50%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4029, Class LY, 3.00%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp; 686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4039, Class AB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4039, Class PB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4043, Class PB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4097, Class HJ, 1.50%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4089, Class AI, IO, 3.00%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 666 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4103, Class HA, 2.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4361, Class CA, 2.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4131, Class BC, 1.25%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4129, Class AP, 1.50%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4141, Class BI, IO, 2.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 913 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4304, Class DW, 2.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 515 | &nbsp;&nbsp;&nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4207, Class JD, 1.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4217, Class UD, 1.75%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3523, Class MX, 4.50%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4338, Class GE, 2.50%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2995, Class FT, 4.70%, 5/15/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3721, Class DG, 2.75%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3775, Class DB, 4.00%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3779, Class LB, 4.00%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2303, Class FY, 4.75%, 4/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2326, Class ZQ, 6.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2362, Class F, 4.85%, 9/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class FD, 4.95%, 3/15/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4170, Class QE, 2.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4094, Class BF, 4.85%, 8/15/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp;&nbsp; 189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2492, Class GH, 6.00%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4120, Class KA, 1.75%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp; 257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4142, Class PG, 2.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4156, Class PE, 2.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1462 | &nbsp;&nbsp;&nbsp;&nbsp; 1377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4162, Class ZJ, 3.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14320 | &nbsp;&nbsp;&nbsp;&nbsp; 13721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2711, Class FC, 5.35%, 2/15/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 542 | &nbsp;&nbsp;&nbsp;&nbsp; 546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2602, Class FH, 4.76%, 4/15/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4206, Class DZ, 3.00%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 535 | &nbsp;&nbsp;&nbsp;&nbsp; 503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4423, Class VN, 3.00%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 678 | &nbsp;&nbsp;&nbsp;&nbsp; 672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2617, Class Z, 5.50%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2194 | &nbsp;&nbsp;&nbsp;&nbsp; 2253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4283, Class ZL, 3.00%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 21912 | &nbsp;&nbsp;&nbsp;&nbsp; 21075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2662, Class MT, 4.50%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4250, Class BZ, 3.00%, 9/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14417 | &nbsp;&nbsp;&nbsp;&nbsp; 13889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4620, IO, 5.00%, 9/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4255, Class LZ, 3.00%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7158 | &nbsp;&nbsp;&nbsp;&nbsp; 6861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2686, Class KZ, 4.50%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp;&nbsp;&nbsp; 396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2693, Class Z, 5.50%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3005, Class PV, IF, 5.74%, 10/15/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2727, Class PM, 4.50%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 510 | &nbsp;&nbsp;&nbsp;&nbsp; 510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2736, Class PE, 5.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2089 | &nbsp;&nbsp;&nbsp;&nbsp; 2119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4301, Class UL, 3.50%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6413 | &nbsp;&nbsp;&nbsp;&nbsp; 6230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2806, Class FA, 5.45%, 2/15/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4342, Class CY, 3.00%, 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3268 | &nbsp;&nbsp;&nbsp;&nbsp; 3085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2989, Class MU, IF, IO, 2.55%, 7/15/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 573 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3204, Class ZM, 5.00%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 331 | &nbsp;&nbsp;&nbsp;&nbsp; 337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3863, Class ZA, 5.50%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8925 | &nbsp;&nbsp;&nbsp;&nbsp; 9163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4401, Class BL, 3.50%, 10/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6922 | &nbsp;&nbsp;&nbsp;&nbsp; 6718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5369, Class V, 6.00%, 10/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7219 | &nbsp;&nbsp;&nbsp;&nbsp; 7339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2963, Class ZG, 5.00%, 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp;&nbsp;&nbsp; 302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2898, Class PG, 5.00%, 12/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 459 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3003, Class LD, 5.00%, 12/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2901, Class S, IF, 5.62%, 12/15/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp; 270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4265, Class FD, 4.85%, 1/15/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2933, Class EM, 5.50%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5401, Class VD, 6.00%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 15641 | &nbsp;&nbsp;&nbsp;&nbsp; 16057 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2929, Class PG, 5.00%, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2941, Class Z, 4.50%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1064 | &nbsp;&nbsp;&nbsp;&nbsp; 1033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2953, Class PG, 5.50%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5417, Class V, 5.50%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2275 | &nbsp;&nbsp;&nbsp;&nbsp; 2303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4492, Class BW, 3.50%, 7/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2314 | &nbsp;&nbsp;&nbsp;&nbsp; 2225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3002, Class BN, 5.00%, 7/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5440, Class MV, 5.00%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1039 | &nbsp;&nbsp;&nbsp;&nbsp; 1036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3013, Class HZ, 5.00%, 8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 486 | &nbsp;&nbsp;&nbsp;&nbsp; 493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5509, Class DV, 5.75%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 15645 | &nbsp;&nbsp;&nbsp;&nbsp; 16011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3101, Class UZ, 6.00%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3174, Class LF, 4.80%, 5/15/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3662, Class ZB, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4646, Class JV, 3.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6319 | &nbsp;&nbsp;&nbsp;&nbsp; 6235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3688, Class NB, 4.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 413 | &nbsp;&nbsp;&nbsp;&nbsp; 412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3855, Class AM, 6.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp; 788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class CZ, 4.00%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1042 | &nbsp;&nbsp;&nbsp;&nbsp; 995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3249, Class CL, 4.25%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp; 477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3258, Class PM, 5.50%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5280, Class T, 5.50%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 16913 | &nbsp;&nbsp;&nbsp;&nbsp; 17517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3305, Class IW, IF, IO, 2.00%, 4/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class HF, 4.71%, 5/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3326, Class FG, 4.80%, 6/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp;&nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3724, Class CM, 5.50%, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp; 223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3351, Class ZC, 5.50%, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 839 | &nbsp;&nbsp;&nbsp;&nbsp; 858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3420, Class EI, IO, 1.12%, 8/15/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1568 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3429, Class S, IF, IO, 2.37%, 3/15/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 329 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3447, Class DB, 5.00%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 975 | &nbsp;&nbsp;&nbsp;&nbsp; 989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3459, Class MB, 5.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3575, Class ZA, 5.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2505 | &nbsp;&nbsp;&nbsp;&nbsp; 2553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3546, Class A, 6.83%, 2/15/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp; 270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3540, Class A, 5.00%, 5/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4346, Class A, 3.50%, 7/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3597, Class HM, 4.50%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3569, Class NY, 5.00%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 451 | &nbsp;&nbsp;&nbsp;&nbsp; 460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3572, Class JS, IF, IO, 2.35%, 9/15/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3585, Class KW, 4.50%, 10/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1048 | &nbsp;&nbsp;&nbsp;&nbsp; 1048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3609, Class SA, IF, IO, 1.89%, 12/15/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1022 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3632, Class PK, 5.00%, 2/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3636, Class MZ, 5.00%, 2/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2465 | &nbsp;&nbsp;&nbsp;&nbsp; 2506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3656, Class PM, 5.00%, 4/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1678 | &nbsp;&nbsp;&nbsp;&nbsp; 1712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3786, Class NA, 4.50%, 7/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3726, Class PA, 3.00%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3706, Class P, 4.00%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2445 | &nbsp;&nbsp;&nbsp;&nbsp; 2375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3719, Class PJ, 4.50%, 9/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 8835 | &nbsp;&nbsp;&nbsp;&nbsp; 8784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4655, Class DJ, 3.00%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1559 | &nbsp;&nbsp;&nbsp;&nbsp; 1474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4318, Class KZ, 4.00%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1976 | &nbsp;&nbsp;&nbsp;&nbsp; 1913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3769, Class ZC, 4.50%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 872 | &nbsp;&nbsp;&nbsp;&nbsp; 864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3803, Class FY, 4.85%, 1/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3822, Class ZG, 4.00%, 2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 5032 | &nbsp;&nbsp;&nbsp;&nbsp; 4873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4080, Class DA, 2.00%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3862, Class GA, 4.00%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3844, Class FA, 4.90%, 4/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4074, Class PA, 3.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3859, Class JB, 5.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp; 223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class JE, 2.00%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp;&nbsp;&nbsp; 464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3884, Class BL, 4.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4026 | &nbsp;&nbsp;&nbsp;&nbsp; 3996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3939, Class BZ, 4.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1784 | &nbsp;&nbsp;&nbsp;&nbsp; 1746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3871, Class KB, 5.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 9424 | &nbsp;&nbsp;&nbsp;&nbsp; 9780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3881, Class AT, 5.85%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 15841 | &nbsp;&nbsp;&nbsp;&nbsp; 16505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class FN, 4.75%, 7/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4152, Class LE, 1.75%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1720 | &nbsp;&nbsp;&nbsp;&nbsp; 1616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3904, Class HC, 4.00%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 489 | &nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3906, Class B, 4.00%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2191 | &nbsp;&nbsp;&nbsp;&nbsp; 2119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class FY, 4.75%, 8/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3952, Class BQ, 2.00%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1788 | &nbsp;&nbsp;&nbsp;&nbsp; 1623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3947, Class BH, 2.50%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2575 | &nbsp;&nbsp;&nbsp;&nbsp; 2302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3934, Class KB, 5.00%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3960, Class PL, 4.00%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2803 | &nbsp;&nbsp;&nbsp;&nbsp; 2729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class VZ, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 554 | &nbsp;&nbsp;&nbsp;&nbsp; 533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4550, Class NA, 3.00%, 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4122, Class PA, 1.50%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4144, Class KD, 1.75%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 358 | &nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4215, Class NA, 3.00%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5296, Class CA, 5.50%, 5/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 9257 | &nbsp;&nbsp;&nbsp;&nbsp; 9353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4088, Class BP, 3.00%, 8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3284 | &nbsp;&nbsp;&nbsp;&nbsp; 2972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4143, Class AE, 2.00%, 9/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1045 | &nbsp;&nbsp;&nbsp;&nbsp; 990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4112, Class PB, 4.00%, 9/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4158, Class TC, 1.75%, 12/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4247, Class AK, 4.50%, 12/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4158, Class LD, 2.00%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 372 | &nbsp;&nbsp;&nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4199, Class YZ, 3.50%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3155 | &nbsp;&nbsp;&nbsp;&nbsp; 2951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4302, Class MA, 3.00%, 7/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 534 | &nbsp;&nbsp;&nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4314, Class LP, 3.50%, 7/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5115, Class FD, 4.00%, 8/15/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5618 | &nbsp;&nbsp;&nbsp;&nbsp; 5401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4311, Class ED, 2.75%, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4480, Class LA, 3.50%, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4330, Class PE, 3.00%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4286, Class MP, 4.00%, 12/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp;&nbsp;&nbsp; 285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4316, Class DZ, 3.00%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3118 | &nbsp;&nbsp;&nbsp;&nbsp; 2847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4338, Class A, 2.50%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4505, Class P, 3.50%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 746 | &nbsp;&nbsp;&nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4571, Class EB, 3.50%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1601 | &nbsp;&nbsp;&nbsp;&nbsp; 1555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4483, Class CA, 3.00%, 6/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 30014 | &nbsp;&nbsp;&nbsp;&nbsp; 28692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4360, Class PZ, 3.00%, 7/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 984 | &nbsp;&nbsp;&nbsp;&nbsp; 878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4417, Class PZ, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2985 | &nbsp;&nbsp;&nbsp;&nbsp; 2670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4545, Class PG, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp; 252 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4745, Class EC, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 854 | &nbsp;&nbsp;&nbsp;&nbsp; 839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4425, Class TA, 2.00%, 1/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4461, Class LZ, 3.00%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 3686 | &nbsp;&nbsp;&nbsp;&nbsp; 3250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4457, Class KZ, 3.00%, 4/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7385 | &nbsp;&nbsp;&nbsp;&nbsp; 6487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4478, Class PC, 2.00%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 828 | &nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4631, Class PA, 3.00%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1577 | &nbsp;&nbsp;&nbsp;&nbsp; 1467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4664, Class PH, 3.50%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 624 | &nbsp;&nbsp;&nbsp;&nbsp; 613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4698, Class DA, 4.50%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1246 | &nbsp;&nbsp;&nbsp;&nbsp; 1223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5427, Class DA, 5.50%, 5/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 34701 | &nbsp;&nbsp;&nbsp;&nbsp; 35002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5334, Class GA, 6.00%, 7/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 17184 | &nbsp;&nbsp;&nbsp;&nbsp; 17432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5353, Class A, 6.50%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 5454 | &nbsp;&nbsp;&nbsp;&nbsp; 5590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4759, Class MA, 3.00%, 9/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5421, Class EA, 5.50%, 3/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 12256 | &nbsp;&nbsp;&nbsp;&nbsp; 12380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4591, Class QE, 2.75%, 4/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4574, Class YH, 3.00%, 4/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4774, Class LP, 3.50%, 9/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4714, Class PA, 3.00%, 11/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1408 | &nbsp;&nbsp;&nbsp;&nbsp; 1308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4657, Class VZ, 3.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 8298 | &nbsp;&nbsp;&nbsp;&nbsp; 7283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4830, Class AP, 4.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 735 | &nbsp;&nbsp;&nbsp;&nbsp; 709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4675, Class EZ, 3.50%, 4/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1724 | &nbsp;&nbsp;&nbsp;&nbsp; 1526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4682, Class LC, 2.50%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4682, Class AP, 3.00%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 576 | &nbsp;&nbsp;&nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4703, Class KZ, 3.50%, 7/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5168 | &nbsp;&nbsp;&nbsp;&nbsp; 4720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5275, Class KA, 5.50%, 9/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 7297 | &nbsp;&nbsp;&nbsp;&nbsp; 7340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4740, Class JA, 3.00%, 10/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1534 | &nbsp;&nbsp;&nbsp;&nbsp; 1357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5271, Class AC, 5.00%, 10/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2694 | &nbsp;&nbsp;&nbsp;&nbsp; 2686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4749, Class ZL, 3.50%, 12/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 14288 | &nbsp;&nbsp;&nbsp;&nbsp; 12855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4936, Class AP, 2.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4941, Class NP, 2.50%, 5/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 716 | &nbsp;&nbsp;&nbsp;&nbsp; 606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5418, Class DA, 6.00%, 6/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7394 | &nbsp;&nbsp;&nbsp;&nbsp; 7529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4922, Class GE, 2.50%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp;&nbsp;&nbsp; 563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5444, Class BC, 5.50%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9574 | &nbsp;&nbsp;&nbsp;&nbsp; 9576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5501, Class EA, 6.00%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 22271 | &nbsp;&nbsp;&nbsp;&nbsp; 22592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4952, Class PA, 2.50%, 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1065 | &nbsp;&nbsp;&nbsp;&nbsp; 906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5433, Class B, 5.50%, 4/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9388 | &nbsp;&nbsp;&nbsp;&nbsp; 9436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5397, Class CA, 5.00%, 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10821 | &nbsp;&nbsp;&nbsp;&nbsp; 10761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5407, Class PA, 5.50%, 2/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9295 | &nbsp;&nbsp;&nbsp;&nbsp; 9311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5536, Class PA, 5.00%, 5/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 4960 | &nbsp;&nbsp;&nbsp;&nbsp; 4898 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 302, Class 350, 3.50%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 218, PO, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 290, Class 200, 2.00%, 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 277, Class 30, 3.00%, 9/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2119 | &nbsp;&nbsp;&nbsp;&nbsp; 1894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 359, Class 350, 3.50%, 10/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1202 | &nbsp;&nbsp;&nbsp;&nbsp; 1114 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-48, Class CN, 4.00%, 6/25/2026 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-61, Class B, 3.00%, 7/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-72, Class KB, 3.50%, 8/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-26, Class CA, 2.50%, 3/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-46, Class KI, IO, 3.50%, 5/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 986 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-102, Class IB, IO, 3.50%, 9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 649 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-127, Class AC, 1.50%, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-124, Class HG, 2.00%, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-5, Class DA, 1.50%, 2/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-13, Class KD, 1.50%, 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-137, Class BA, 1.50%, 1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-15, Class AC, 5.50%, 3/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-58, Class B, 4.50%, 8/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 391 | &nbsp;&nbsp;&nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class AC, 4.00%, 3/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-92, Class B, 4.50%, 8/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1780 | &nbsp;&nbsp;&nbsp;&nbsp; 1779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8, Class CA, 2.00%, 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6899 | &nbsp;&nbsp;&nbsp;&nbsp; 6585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-45, Class ZA, 4.00%, 5/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6434 | &nbsp;&nbsp;&nbsp;&nbsp; 6371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-38, Class EA, PO, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-89, Class KE, 2.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-98, Class QG, 1.75%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-81, Class HE, 6.50%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1062 | &nbsp;&nbsp;&nbsp;&nbsp; 1104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-34, Class FA, 4.94%, 5/18/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-112, Class AY, 3.00%, 10/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13425 | &nbsp;&nbsp;&nbsp;&nbsp; 12721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-109, Class BA, 3.00%, 10/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-64, Class PG, 5.50%, 10/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 883 | &nbsp;&nbsp;&nbsp;&nbsp; 904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class FH, 5.24%, 11/25/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 438 | &nbsp;&nbsp;&nbsp;&nbsp; 440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class TF, 5.44%, 12/18/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-134, Class JY, 3.00%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14229 | &nbsp;&nbsp;&nbsp;&nbsp; 13529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class QG, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-84, Class DZ, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-94, Class BZ, 5.50%, 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 543 | &nbsp;&nbsp;&nbsp;&nbsp; 558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-18, Class TG, 2.00%, 2/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class FB, 5.19%, 2/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-31, Class NL, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-42, Class CI, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-63, Class A7, 5.50%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1022 | &nbsp;&nbsp;&nbsp;&nbsp; 1038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-49, IO, 6.50%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-69, Class L, 3.00%, 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9970 | &nbsp;&nbsp;&nbsp;&nbsp; 9536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-58, Class GL, 3.50%, 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-133, Class WA, 3.00%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1136 | &nbsp;&nbsp;&nbsp;&nbsp; 1104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-91, Class DZ, 3.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 22041 | &nbsp;&nbsp;&nbsp;&nbsp; 20919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-97, Class EL, 3.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14274 | &nbsp;&nbsp;&nbsp;&nbsp; 13708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-84, Class PZ, 5.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-100, Class WB, 3.00%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4608 | &nbsp;&nbsp;&nbsp;&nbsp; 4423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-107, Class ZD, 6.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 805 | &nbsp;&nbsp;&nbsp;&nbsp; 834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-126, Class JZ, 3.50%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14711 | &nbsp;&nbsp;&nbsp;&nbsp; 14336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-129, Class CZ, 2.50%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8953 | &nbsp;&nbsp;&nbsp;&nbsp; 8457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-129, Class ZT, 5.50%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 4519 | &nbsp;&nbsp;&nbsp;&nbsp; 4657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-38, Class AO, PO, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1334 | &nbsp;&nbsp;&nbsp;&nbsp; 1034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-23, Class CZ, 3.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7111 | &nbsp;&nbsp;&nbsp;&nbsp; 6925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-72, Class F, 4.94%, 9/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-91, Class BR, 5.50%, 12/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class ZU, 6.00%, 12/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class PA, 5.00%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-101, Class AR, 5.50%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-8, Class V, 5.50%, 2/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 27168 | &nbsp;&nbsp;&nbsp;&nbsp; 27693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-27, Class HZ, 5.00%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1091 | &nbsp;&nbsp;&nbsp;&nbsp; 1105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-31, Class PB, 5.50%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-31, Class UY, 3.00%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3559 | &nbsp;&nbsp;&nbsp;&nbsp; 3370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-38, Class FK, 4.74%, 5/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp; 214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-41, Class CA, 3.00%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 345 | &nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class PF, 4.69%, 7/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-55, Class PN, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1159 | &nbsp;&nbsp;&nbsp;&nbsp; 1201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64, Class PL, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-103, Class BT, IF, 6.50%, 7/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-88, Class ZC, 5.00%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1311 | &nbsp;&nbsp;&nbsp;&nbsp; 1328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-109, Class VZ, 5.00%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 973 | &nbsp;&nbsp;&nbsp;&nbsp; 985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-39, Class FT, 5.39%, 10/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp;&nbsp;&nbsp; 395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class MB, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-114, Class JA, 3.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-87, Class TB, 4.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2556 | &nbsp;&nbsp;&nbsp;&nbsp; 2529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-101, Class B, 5.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 586 | &nbsp;&nbsp;&nbsp;&nbsp; 593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-99, Class AF, 4.79%, 12/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-88, Class ER, 2.50%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class FC, 4.74%, 3/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class DB, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-3, Class ZA, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 5689 | &nbsp;&nbsp;&nbsp;&nbsp; 5848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class BF, 4.74%, 4/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class FW, 4.84%, 6/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-42, Class PF, 4.85%, 6/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class PE, 5.00%, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-71, Class JT, 6.00%, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class ST, IF, IO, 2.71%, 7/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-101, Class FC, 4.74%, 7/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-101, Class FD, 4.74%, 7/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class DC, 5.09%, 7/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class NF, 4.69%, 2/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-22, Class SC, IF, IO, 1.64%, 3/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 5.19%, 3/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-33, Class MS, IF, IO, 2.15%, 4/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 716 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-57, Class ZE, 4.75%, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-B2, Class ZA, 5.50%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1248 | &nbsp;&nbsp;&nbsp;&nbsp; 1294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-61, Class PE, 5.50%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1926 | &nbsp;&nbsp;&nbsp;&nbsp; 1979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-5, Class PE, 5.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-85, Class SH, IF, IO, 2.06%, 9/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 564 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-117, Class FM, 5.14%, 1/25/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-117, Class MF, 5.14%, 1/25/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 192 | &nbsp;&nbsp;&nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-24, Class PF, 5.09%, 2/25/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class SE, IF, IO, 1.83%, 3/25/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-25, Class DZ, 5.75%, 4/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-8, Class D, 2.00%, 8/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 8558 | &nbsp;&nbsp;&nbsp;&nbsp; 7953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-83, Class CA, 6.00%, 9/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-29, Class LA, 1.10%, 5/25/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp;&nbsp;&nbsp; 601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-25, Class DC, 2.50%, 6/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp;&nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-59, Class HB, 5.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp;&nbsp;&nbsp; 830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-70, Class FA, 5.64%, 9/25/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-73, Class HJ, 6.00%, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class PE, 5.00%, 10/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1885 | &nbsp;&nbsp;&nbsp;&nbsp; 1913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-125, Class AB, 4.00%, 11/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-87, Class B, 4.50%, 11/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 689 | &nbsp;&nbsp;&nbsp;&nbsp; 690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-112, Class SW, IF, IO, 1.81%, 1/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1544 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class KF, 4.94%, 4/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-37, Class CY, 5.00%, 4/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-61, Class ZA, 5.00%, 4/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp; 638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-43, Class HJ, 5.50%, 5/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class FA, 4.99%, 6/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp;&nbsp;&nbsp; 207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-64, Class DM, 5.00%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class FY, 5.17%, 6/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-109, Class M, 3.00%, 9/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 716 | &nbsp;&nbsp;&nbsp;&nbsp; 694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-126, Class LI, IO, 4.00%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-74, Class LQ, 4.50%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 14732 | &nbsp;&nbsp;&nbsp;&nbsp; 14644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-154, Class MW, 3.50%, 1/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2537 | &nbsp;&nbsp;&nbsp;&nbsp; 2468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-63, Class LB, 4.00%, 1/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2138 | &nbsp;&nbsp;&nbsp;&nbsp; 2064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-18, Class KY, 4.00%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 466 | &nbsp;&nbsp;&nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-35, Class PE, 4.00%, 4/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 875 | &nbsp;&nbsp;&nbsp;&nbsp; 838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-52, Class GB, 5.00%, 6/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-53, Class FT, 5.02%, 6/25/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-128, Class KP, 4.50%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-59, Class NZ, 5.50%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 481 | &nbsp;&nbsp;&nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-64, Class DT, 5.80%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 27998 | &nbsp;&nbsp;&nbsp;&nbsp; 29244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-147, Class NE, 1.75%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 884 | &nbsp;&nbsp;&nbsp;&nbsp; 846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-14, Class PA, 2.00%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-72, Class LY, 3.50%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-45, Class GA, 2.50%, 9/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-126, Class CA, 4.00%, 9/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-123, Class BP, 2.00%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2112 | &nbsp;&nbsp;&nbsp;&nbsp; 1968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-141, Class MA, 3.50%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-64, Class PK, 4.50%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 706 | &nbsp;&nbsp;&nbsp;&nbsp; 698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-113, Class DC, 2.25%, 1/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-27, Class PL, 2.00%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-139, Class NY, 5.00%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1024 | &nbsp;&nbsp;&nbsp;&nbsp; 1038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-133, Class AP, 1.75%, 3/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2731 | &nbsp;&nbsp;&nbsp;&nbsp; 2489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-100, Class TL, 4.00%, 4/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp;&nbsp;&nbsp; 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-80, Class EB, 4.50%, 4/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-9, Class CB, 5.50%, 4/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 9640 | &nbsp;&nbsp;&nbsp;&nbsp; 9860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-73, Class PG, 2.50%, 6/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp; 504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-128, Class VF, 4.69%, 6/25/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp;&nbsp;&nbsp; 280 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-93, Class PJ, 3.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 459 | &nbsp;&nbsp;&nbsp;&nbsp; 442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-96, Class FY, 4.79%, 7/25/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-34, Class PC, 2.50%, 8/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 354 | &nbsp;&nbsp;&nbsp;&nbsp; 337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-18, Class DE, 4.00%, 8/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 517 | &nbsp;&nbsp;&nbsp;&nbsp; 508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-94, Class K, 2.00%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 728 | &nbsp;&nbsp;&nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-60, Class PD, 2.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-112, Class DA, 3.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1536 | &nbsp;&nbsp;&nbsp;&nbsp; 1395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class NC, 3.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-72, Class AF, 4.69%, 11/25/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-6, Class HD, 1.50%, 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp;&nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-35, Class LP, 3.00%, 1/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6100 | &nbsp;&nbsp;&nbsp;&nbsp; 5878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-61, Class BA, 3.00%, 1/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1290 | &nbsp;&nbsp;&nbsp;&nbsp; 1209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-10, Class PA, 1.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 763 | &nbsp;&nbsp;&nbsp;&nbsp; 654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-10, Class UB, 2.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 884 | &nbsp;&nbsp;&nbsp;&nbsp; 750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-58, Class FP, 4.69%, 2/25/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 442 | &nbsp;&nbsp;&nbsp;&nbsp; 437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-18, Class BZ, 3.00%, 3/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5691 | &nbsp;&nbsp;&nbsp;&nbsp; 5491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-100, Class PL, 4.50%, 3/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 491 | &nbsp;&nbsp;&nbsp;&nbsp; 489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-66, Class LB, 1.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-26, Class ZV, 3.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 10688 | &nbsp;&nbsp;&nbsp;&nbsp; 9834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-33, Class UZ, 3.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7577 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-64, Class PF, 4.69%, 4/25/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 397 | &nbsp;&nbsp;&nbsp;&nbsp; 391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-66, Class MB, 3.00%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1644 | &nbsp;&nbsp;&nbsp;&nbsp; 1486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-43, Class PZ, 3.00%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1281 | &nbsp;&nbsp;&nbsp;&nbsp; 1048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-32, Class DK, 3.00%, 8/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp; 282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, Class DE, 4.00%, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-34, Class UP, 3.00%, 11/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 482 | &nbsp;&nbsp;&nbsp;&nbsp; 467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-45, Class CB, 2.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3282 | &nbsp;&nbsp;&nbsp;&nbsp; 3089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class GB, 4.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1909 | &nbsp;&nbsp;&nbsp;&nbsp; 1861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-80, Class KV, 3.00%, 6/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2538 | &nbsp;&nbsp;&nbsp;&nbsp; 2484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-56, Class Z, 3.50%, 9/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 5478 | &nbsp;&nbsp;&nbsp;&nbsp; 5096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-74, Class KA, 3.00%, 11/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-100, Class P, 3.50%, 11/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-28, Class JE, 3.00%, 5/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 20991 | &nbsp;&nbsp;&nbsp;&nbsp; 20163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-33, Class DT, 2.50%, 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp; 332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-51, Class KC, 3.00%, 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-12, Class GB, 6.00%, 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 21128 | &nbsp;&nbsp;&nbsp;&nbsp; 21432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-42, Class B, 6.00%, 7/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 16152 | &nbsp;&nbsp;&nbsp;&nbsp; 16402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-18, Class DA, 3.00%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 558 | &nbsp;&nbsp;&nbsp;&nbsp; 545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-84, Class LA, 3.00%, 12/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp;&nbsp;&nbsp; 635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class GA, 3.00%, 2/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1312 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-20, Class HD, 5.50%, 3/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7460 | &nbsp;&nbsp;&nbsp;&nbsp; 7526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-16, Class AL, 3.00%, 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7846 | &nbsp;&nbsp;&nbsp;&nbsp; 7077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-15, Class PE, 3.50%, 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp; 863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-26, Class CG, 3.00%, 5/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 25730 | &nbsp;&nbsp;&nbsp;&nbsp; 24618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-68, Class HQ, 3.00%, 7/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 952 | &nbsp;&nbsp;&nbsp;&nbsp; 895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-80, Class JP, 3.00%, 11/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp;&nbsp;&nbsp; 483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-27, Class E, 3.00%, 11/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2107 | &nbsp;&nbsp;&nbsp;&nbsp; 1936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-85, Class HA, 3.00%, 12/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1025 | &nbsp;&nbsp;&nbsp;&nbsp; 956 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-11, Class PH, 2.50%, 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-10, Class AE, 3.00%, 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1602 | &nbsp;&nbsp;&nbsp;&nbsp; 1519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-9, Class B, 3.00%, 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1693 | &nbsp;&nbsp;&nbsp;&nbsp; 1608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-10, Class FA, 4.84%, 3/25/2047 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-84, Class JA, 2.75%, 9/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-96, Class MA, 3.00%, 12/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 389 | &nbsp;&nbsp;&nbsp;&nbsp; 341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-102, Class PZ, 3.50%, 12/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp; 2029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-37, Class BC, 3.50%, 12/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp;&nbsp; 214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-41, Class GA, 5.50%, 2/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5089 | &nbsp;&nbsp;&nbsp;&nbsp; 5110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-13, Class PA, 3.00%, 3/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6849 | &nbsp;&nbsp;&nbsp;&nbsp; 5970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15, Class NZ, 3.00%, 3/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6878 | &nbsp;&nbsp;&nbsp;&nbsp; 6142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15, Class ZG, 3.50%, 3/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1521 | &nbsp;&nbsp;&nbsp;&nbsp; 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-17, Class KA, 3.50%, 4/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-65, Class PA, 2.50%, 5/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-11, Class EA, 3.00%, 5/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 553 | &nbsp;&nbsp;&nbsp;&nbsp; 518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-20, Class PB, 2.75%, 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp;&nbsp;&nbsp; 196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-87, Class BA, 4.00%, 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-94, PO, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-9, Class ZA, 3.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5794 | &nbsp;&nbsp;&nbsp;&nbsp; 5193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-51, Class DW, 3.50%, 11/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 354 | &nbsp;&nbsp;&nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-61, Class G, 5.50%, 1/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 20678 | &nbsp;&nbsp;&nbsp;&nbsp; 20772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-49, Class GA, 1.50%, 2/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2101 | &nbsp;&nbsp;&nbsp;&nbsp; 1701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class AB, 3.20%, 2/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8817 | &nbsp;&nbsp;&nbsp;&nbsp; 8423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-11, Class ZY, 5.50%, 3/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2496 | &nbsp;&nbsp;&nbsp;&nbsp; 2504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-13, Class CG, 4.50%, 4/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2286 | &nbsp;&nbsp;&nbsp;&nbsp; 2263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-18, Class BA, 3.50%, 5/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6660 | &nbsp;&nbsp;&nbsp;&nbsp; 6356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-70, Class JA, 2.50%, 9/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-72, Class KA, 2.50%, 9/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-15, Class EA, 2.00%, 10/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 564 | &nbsp;&nbsp;&nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-70, Class MB, 2.50%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-81, Class LA, 2.50%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7, Class DZ, 3.00%, 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 648 | &nbsp;&nbsp;&nbsp;&nbsp; 541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-15, Class EM, 3.00%, 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-81, Class BA, 5.00%, 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8610 | &nbsp;&nbsp;&nbsp;&nbsp; 8554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-60, Class H, 5.00%, 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9760 | &nbsp;&nbsp;&nbsp;&nbsp; 9733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-65, Class DB, 5.00%, 5/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 11374 | &nbsp;&nbsp;&nbsp;&nbsp; 11403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-50, Class DA, 5.50%, 5/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5872 | &nbsp;&nbsp;&nbsp;&nbsp; 5877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-96, Class EA, 5.50%, 3/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 13840 | &nbsp;&nbsp;&nbsp;&nbsp; 13824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-58, Class BA, 5.00%, 9/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 14662 | &nbsp;&nbsp;&nbsp;&nbsp; 14772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-33, Class MA, 3.50%, 7/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-70, Class HA, 3.50%, 10/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 423 | &nbsp;&nbsp;&nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.84%, 6/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.01%, 10/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-50, Class BA, 7.00%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 289, Class 1, PO, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 17, IO, 6.50%, 2/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 13, IO, 6.00%, 3/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 9, IO, 6.00%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 356, Class 16, IO, 5.50%, 6/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 359, Class 16, IO, 5.50%, 10/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 369, Class 19, IO, 6.00%, 10/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 369, Class 26, IO, 6.50%, 10/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 386, Class 20, IO, 6.50%, 8/25/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 394, Class C3, IO, 6.50%, 9/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 411, Class A3, 3.00%, 8/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 888 | &nbsp;&nbsp;&nbsp;&nbsp; 800 |
| &nbsp;&nbsp;&nbsp; FNMA, Whole Loan Series 2007-W1, Class 1AF1, 4.70%, 11/25/2046 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 706 | &nbsp;&nbsp;&nbsp;&nbsp; 700 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-132, Class GJ, 2.00%, 9/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-155, Class A, 3.00%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class AC, 1.50%, 5/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-50, Class F, 4.74%, 5/16/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-39, Class IN, IO, 5.50%, 6/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-102, Class PE, 6.00%, 11/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 662 | &nbsp;&nbsp;&nbsp;&nbsp; 660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-131, Class KV, 6.00%, 7/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3701 | &nbsp;&nbsp;&nbsp;&nbsp; 3802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-26, Class NV, 6.00%, 12/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10062 | &nbsp;&nbsp;&nbsp;&nbsp; 10395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26, Class S, IF, IO, 2.06%, 6/20/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2514 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class KU, IF, IO, 2.21%, 4/20/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1392 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class XL, IF, IO, 2.31%, 6/20/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1245 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-75, Class SP, IF, IO, 3.03%, 8/20/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 523 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class SA, IF, IO, 1.64%, 3/20/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1561 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KS, IF, IO, 1.86%, 3/20/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 647 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-75, Class NB, 4.50%, 6/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-59, Class HZ, 4.50%, 5/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-98, Class ME, 4.50%, 8/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 9201 | &nbsp;&nbsp;&nbsp;&nbsp; 9189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-71, Class NA, 2.50%, 8/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-96, Class WP, 6.50%, 8/16/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1827 | &nbsp;&nbsp;&nbsp;&nbsp; 1918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-42, Class ND, 1.75%, 11/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-28, Class DE, 1.75%, 12/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3, Class GA, 2.50%, 1/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2775 | &nbsp;&nbsp;&nbsp;&nbsp; 2619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-12, Class ZA, 3.00%, 1/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 12844 | &nbsp;&nbsp;&nbsp;&nbsp; 11697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-41, Class AL, 2.25%, 3/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3904 | &nbsp;&nbsp;&nbsp;&nbsp; 3639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-29, Class LC, 3.00%, 4/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-137, Class DT, 2.25%, 9/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 7048 | &nbsp;&nbsp;&nbsp;&nbsp; 6550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-25, Class QH, 3.00%, 12/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 879 | &nbsp;&nbsp;&nbsp;&nbsp; 832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-80, Class CP, 4.50%, 6/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-80, Class CQ, 5.00%, 6/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-36, Class AM, 3.00%, 7/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-79, Class LA, 3.00%, 9/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-90, Class MA, 3.00%, 10/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-104, Class MA, 3.00%, 11/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-84, Class BA, 5.75%, 11/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 19704 | &nbsp;&nbsp;&nbsp;&nbsp; 19874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-107, Class PA, 5.50%, 1/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 6041 | &nbsp;&nbsp;&nbsp;&nbsp; 6093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-125, Class AG, 2.50%, 2/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 944 | &nbsp;&nbsp;&nbsp;&nbsp; 910 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-91, Class WH, 2.75%, 3/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 834 | &nbsp;&nbsp;&nbsp;&nbsp; 761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-196, Class A, 4.50%, 4/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 12964 | &nbsp;&nbsp;&nbsp;&nbsp; 12838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-65, Class DZ, 3.00%, 4/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2872 | &nbsp;&nbsp;&nbsp;&nbsp; 2399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-139, Class PE, 2.75%, 8/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3303 | &nbsp;&nbsp;&nbsp;&nbsp; 2823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-34, Class TY, 3.50%, 3/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 757 | &nbsp;&nbsp;&nbsp;&nbsp; 676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-43, Class AB, 5.50%, 4/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8487 | &nbsp;&nbsp;&nbsp;&nbsp; 8586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-89, Class AM, 5.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 19701 | &nbsp;&nbsp;&nbsp;&nbsp; 19880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-43, Class JA, 5.50%, 5/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 29663 | &nbsp;&nbsp;&nbsp;&nbsp; 29884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-74, Class AT, 3.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-58, Class BA, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3060 | &nbsp;&nbsp;&nbsp;&nbsp; 3056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-145, Class PA, 3.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-183, Class A, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7473 | &nbsp;&nbsp;&nbsp;&nbsp; 7437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5, Class NA, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2566 | &nbsp;&nbsp;&nbsp;&nbsp; 2369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-74, Class DY, 2.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 823 | &nbsp;&nbsp;&nbsp;&nbsp; 679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-83, Class KP, 3.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-24, Class AD, 5.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12664 | &nbsp;&nbsp;&nbsp;&nbsp; 12701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-80, Class AC, 6.00%, 6/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4706 | &nbsp;&nbsp;&nbsp;&nbsp; 4792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-79, Class PT, 6.00%, 5/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9033 | &nbsp;&nbsp;&nbsp;&nbsp; 9172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-144, Class DB, 6.50%, 9/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9867 | &nbsp;&nbsp;&nbsp;&nbsp; 10063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-203, Class HA, 6.50%, 10/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 15235 | &nbsp;&nbsp;&nbsp;&nbsp; 15681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-19, Class E, 5.00%, 9/20/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 23668 | &nbsp;&nbsp;&nbsp;&nbsp; 23724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-115, Class E, 5.50%, 11/20/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 16758 | &nbsp;&nbsp;&nbsp;&nbsp; 16891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-H26, Class LF, 4.78%, 8/20/2058 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-19, Class EB, 5.50%, 6/20/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 6719 | &nbsp;&nbsp;&nbsp;&nbsp; 6772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-H03, Class FA, 4.99%, 3/20/2060 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 487 | &nbsp;&nbsp;&nbsp;&nbsp; 490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H07, Class FA, 4.93%, 2/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 436 | &nbsp;&nbsp;&nbsp;&nbsp; 438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H08, Class FA, 5.03%, 2/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H11, Class FA, 4.93%, 3/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H11, Class FB, 4.93%, 4/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H21, Class FA, 5.03%, 10/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H05, Class FB, 4.84%, 2/20/2062 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H14, Class FK, 5.01%, 7/20/2062 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H18, Class NA, 4.95%, 8/20/2062 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H20, Class BA, 4.99%, 9/20/2062 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H23, Class WA, 4.95%, 10/20/2062 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 4.95%, 10/20/2062 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H30, Class GA, 4.78%, 12/20/2062 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-112, Class BA, 6.50%, 12/20/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 4526 | &nbsp;&nbsp;&nbsp;&nbsp; 4663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class FA, 4.78%, 3/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H11, Class FA, 4.88%, 4/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H14, Class FG, 4.90%, 5/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H15, Class FA, 4.97%, 6/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H19, Class FC, 5.03%, 8/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H05, Class FB, 5.03%, 12/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H02, Class FB, 5.08%, 12/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-64, Class ED, 5.50%, 4/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 6408 | &nbsp;&nbsp;&nbsp;&nbsp; 6461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H14, Class GF, 4.90%, 7/20/2064 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H16, Class FL, 4.91%, 7/20/2064 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp;&nbsp;&nbsp; 302 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H21, Class FA, 5.08%, 10/20/2064 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H04, Class FL, 4.91%, 2/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H06, Class FB, 5.08%, 2/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5608 | &nbsp;&nbsp;&nbsp;&nbsp; 5614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H13, Class FG, 4.83%, 4/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FH, 5.03%, 4/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp;&nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H09, Class FA, 5.05%, 4/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FK, 5.05%, 4/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4992 | &nbsp;&nbsp;&nbsp;&nbsp; 4995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H14, Class FB, 4.86%, 5/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FB, 5.03%, 5/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3626 | &nbsp;&nbsp;&nbsp;&nbsp; 3627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FD, 5.03%, 5/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp; 616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H14, Class FA, 5.00%, 6/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1583 | &nbsp;&nbsp;&nbsp;&nbsp; 1583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FM, 5.03%, 7/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1467 | &nbsp;&nbsp;&nbsp;&nbsp; 1467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H24, Class FA, 5.08%, 9/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2955 | &nbsp;&nbsp;&nbsp;&nbsp; 2958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H27, Class FA, 5.18%, 9/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 683 | &nbsp;&nbsp;&nbsp;&nbsp; 685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H25, Class FD, 5.08%, 10/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2996 | &nbsp;&nbsp;&nbsp;&nbsp; 2999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H29, Class FA, 5.13%, 10/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H29, Class FJ, 5.11%, 11/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1774 | &nbsp;&nbsp;&nbsp;&nbsp; 1777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H01, Class FA, 5.33%, 1/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1772 | &nbsp;&nbsp;&nbsp;&nbsp; 1779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H06, Class FC, 5.35%, 2/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 951 | &nbsp;&nbsp;&nbsp;&nbsp; 956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H06, Class FA, 5.38%, 2/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1197 | &nbsp;&nbsp;&nbsp;&nbsp; 1203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H09, Class FN, 5.28%, 3/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1271 | &nbsp;&nbsp;&nbsp;&nbsp; 1275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H14, Class FA, 5.23%, 6/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 536 | &nbsp;&nbsp;&nbsp;&nbsp; 538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H22, Class FA, 5.20%, 10/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2355 | &nbsp;&nbsp;&nbsp;&nbsp; 2361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H24, Class AF, 5.28%, 11/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1165 | &nbsp;&nbsp;&nbsp;&nbsp; 1169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H07, Class FG, 4.89%, 2/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class FD, 4.90%, 6/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H16, Class CF, 4.90%, 7/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3582 | &nbsp;&nbsp;&nbsp;&nbsp; 3594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H15, Class FN, 4.93%, 7/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H19, Class FA, 4.88%, 8/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H04, Class FG, 4.71%, 2/20/2068 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H07, Class FE, 4.78%, 2/20/2068 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H01, Class FT, 4.83%, 10/20/2068 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H05, Class FT, 4.52%, 4/20/2069 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H14, Class FH, 5.13%, 8/20/2069 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10659 | &nbsp;&nbsp;&nbsp;&nbsp; 10645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H13, Class FK, 4.93%, 7/20/2070 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2663 | &nbsp;&nbsp;&nbsp;&nbsp; 2658 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S2, Class 5A1, 5.50%, 12/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 7.21%, 8/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 242 | &nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 5.75%, 7/25/2061 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2997 | &nbsp;&nbsp;&nbsp;&nbsp; 2985 |
| &nbsp;&nbsp;&nbsp; Lhome Mortgage Trust Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3504 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13067 | &nbsp;&nbsp;&nbsp;&nbsp; 12990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL1, Class A1, 5.65%, 1/25/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6579 | &nbsp;&nbsp;&nbsp;&nbsp; 6581 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; MFA Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL3, Class A1, 5.91%, 11/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 12170 | &nbsp;&nbsp;&nbsp;&nbsp; 12188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM2, Class A1, 1.03%, 11/25/2064 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 773 | &nbsp;&nbsp;&nbsp;&nbsp; 675 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 12035 | &nbsp;&nbsp;&nbsp;&nbsp; 12107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 15750 | &nbsp;&nbsp;&nbsp;&nbsp; 15629 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-AR6, Class 4A1, 4.96%, 12/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1185 | &nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp; NYMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPL3, Class A1, 5.27%, 9/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SP1, Class A1, 4.67%, 8/25/2061 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 8250 | &nbsp;&nbsp;&nbsp;&nbsp; 8209 |
| &nbsp;&nbsp;&nbsp; OBX Trust Series 2020-EXP3, Class 2A1, 5.34%, 1/25/2060 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp;&nbsp;&nbsp; 376 |
| &nbsp;&nbsp;&nbsp; PRPM LLC Series 2020-4, Class A1, 6.61%, 10/25/2025 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6272 | &nbsp;&nbsp;&nbsp;&nbsp; 6265 |
| &nbsp;&nbsp;&nbsp; Roc Mortgage Trust Series 2025-RTL1, Class A1, 5.63%, 2/25/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3080 | &nbsp;&nbsp;&nbsp;&nbsp; 3071 |
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust Series 2025-RRTL1, Class A1, 5.52%, 2/25/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13600 | &nbsp;&nbsp;&nbsp;&nbsp; 13532 |
| &nbsp;&nbsp;&nbsp; Visio Trust Series 2019-2, Class A1, 2.72%, 11/25/2054 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 598 | &nbsp;&nbsp;&nbsp;&nbsp; 587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $1,612,481)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 1579501 |
| **Mortgage-Backed Securities — 8.5%** | **Mortgage-Backed Securities — 8.5%** | **Mortgage-Backed Securities — 8.5%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 611141, ARM, 6.23%, 1/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 846774, ARM, 6.40%, 12/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B2844, ARM, 6.55%, 3/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1380, ARM, 7.27%, 3/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 437 | &nbsp;&nbsp;&nbsp;&nbsp; 454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1379, ARM, 7.23%, 10/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1861, ARM, 6.91%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1380, ARM, 7.68%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1313, ARM, 7.33%, 6/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1028, ARM, 7.67%, 7/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0273, ARM, 6.66%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1K0035, ARM, 7.48%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1393, ARM, 7.15%, 10/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1378, ARM, 6.27%, 11/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1418, ARM, 6.32%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0346, ARM, 6.44%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1467, ARM, 6.69%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1541, ARM, 6.54%, 1/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; 260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1516, ARM, 6.60%, 2/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1458, ARM, 6.19%, 3/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1635, ARM, 6.46%, 3/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1522, ARM, 7.05%, 3/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0339, ARM, 6.79%, 4/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0697, ARM, 6.20%, 5/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp; 419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1681, ARM, 7.73%, 6/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp; 362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1685, ARM, 7.73%, 6/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847871, ARM, 5.71%, 8/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2834, ARM, 7.64%, 8/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0476, ARM, 7.36%, 10/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2945, ARM, 7.50%, 11/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0894, ARM, 7.11%, 1/1/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 6.90%, 4/1/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J14783, 4.00%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G14643, 4.00%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G14973, 4.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J30812, 3.00%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3929 | &nbsp;&nbsp;&nbsp;&nbsp; 3837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J31731, 3.00%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G16018, 3.00%, 12/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2374 | &nbsp;&nbsp;&nbsp;&nbsp; 2305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G18643, 2.50%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7281 | &nbsp;&nbsp;&nbsp;&nbsp; 6967 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30325, 5.50%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91261, 4.50%, 8/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91349, 4.50%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30565, 4.50%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30701, 5.00%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91388, 3.50%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1278 | &nbsp;&nbsp;&nbsp;&nbsp; 1254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91447, 3.50%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91449, 4.00%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp;&nbsp; 426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91581, 3.00%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 527 | &nbsp;&nbsp;&nbsp;&nbsp; 508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # K90311, 3.00%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1070 | &nbsp;&nbsp;&nbsp;&nbsp; 1027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30669, 4.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 697 | &nbsp;&nbsp;&nbsp;&nbsp; 701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91761, 4.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 563 | &nbsp;&nbsp;&nbsp;&nbsp; 558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # K92617, 3.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3207 | &nbsp;&nbsp;&nbsp;&nbsp; 3038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91862, 3.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91880, 3.50%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1095 | &nbsp;&nbsp;&nbsp;&nbsp; 1057 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A30588, 6.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01665, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1013 | &nbsp;&nbsp;&nbsp;&nbsp; 1033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05046, 5.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03073, 5.50%, 7/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 506 | &nbsp;&nbsp;&nbsp;&nbsp; 517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04772, 7.00%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05091, 4.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 487 | &nbsp;&nbsp;&nbsp;&nbsp; 482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05798, 5.50%, 1/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G08729, 4.50%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 341 | &nbsp;&nbsp;&nbsp;&nbsp; 329 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T45022, 2.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1106 | &nbsp;&nbsp;&nbsp;&nbsp; 1081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79013, 2.50%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79014, 2.50%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T40143, 2.50%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79019, 3.00%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79026, 2.50%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U49013, 3.00%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp;&nbsp;&nbsp; 385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U59041, 3.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp;&nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT1051, 3.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1413 | &nbsp;&nbsp;&nbsp;&nbsp; 1378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20028, 7.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 680 | &nbsp;&nbsp;&nbsp;&nbsp; 697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6019, 3.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6030, 3.50%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6028, 3.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 287 | &nbsp;&nbsp;&nbsp;&nbsp; 240 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6048, 2.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1206 | &nbsp;&nbsp;&nbsp;&nbsp; 968 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 10 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5058, 2.00%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10774 | &nbsp;&nbsp;&nbsp;&nbsp; 10222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5059, 1.50%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11620 | &nbsp;&nbsp;&nbsp;&nbsp; 10860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5121, 4.50%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1872 | &nbsp;&nbsp;&nbsp;&nbsp; 1877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5122, 4.00%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2114 | &nbsp;&nbsp;&nbsp;&nbsp; 2093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5146, 4.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2333 | &nbsp;&nbsp;&nbsp;&nbsp; 2339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5150, 5.00%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4015 | &nbsp;&nbsp;&nbsp;&nbsp; 4075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5157, 4.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1704 | &nbsp;&nbsp;&nbsp;&nbsp; 1709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5240, 5.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5828 | &nbsp;&nbsp;&nbsp;&nbsp; 5898 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS6893, 3.00%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8590 | &nbsp;&nbsp;&nbsp;&nbsp; 8410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZK7588, 3.00%, 2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5070 | &nbsp;&nbsp;&nbsp;&nbsp; 4976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS7344, 3.00%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8096 | &nbsp;&nbsp;&nbsp;&nbsp; 7860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1025, 2.50%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8337 | &nbsp;&nbsp;&nbsp;&nbsp; 8026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS8602, 3.00%, 3/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2563 | &nbsp;&nbsp;&nbsp;&nbsp; 2486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZK8739, 3.00%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6329 | &nbsp;&nbsp;&nbsp;&nbsp; 6117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB0722, 3.00%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3521 | &nbsp;&nbsp;&nbsp;&nbsp; 3424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS8076, 4.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1099 | &nbsp;&nbsp;&nbsp;&nbsp; 1090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS8124, 4.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1702 | &nbsp;&nbsp;&nbsp;&nbsp; 1689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT1412, 4.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10886 | &nbsp;&nbsp;&nbsp;&nbsp; 10795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1084, 3.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10539 | &nbsp;&nbsp;&nbsp;&nbsp; 10234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB8100, 1.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 3092 | &nbsp;&nbsp;&nbsp;&nbsp; 2652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB0754, 2.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 796 | &nbsp;&nbsp;&nbsp;&nbsp; 723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1182, 6.00%, 2/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 21266 | &nbsp;&nbsp;&nbsp;&nbsp; 21776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1098, 6.00%, 2/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7166 | &nbsp;&nbsp;&nbsp;&nbsp; 7346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1376, 6.00%, 12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 12859 | &nbsp;&nbsp;&nbsp;&nbsp; 13184 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZA2217, 3.50%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8359 | &nbsp;&nbsp;&nbsp;&nbsp; 8192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT2375, 4.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6817 | &nbsp;&nbsp;&nbsp;&nbsp; 6771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS9162, 3.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3738 | &nbsp;&nbsp;&nbsp;&nbsp; 3579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT1674, 5.00%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1932 | &nbsp;&nbsp;&nbsp;&nbsp; 1951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0379, 4.50%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2854 | &nbsp;&nbsp;&nbsp;&nbsp; 2847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZA2393, 3.00%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 13947 | &nbsp;&nbsp;&nbsp;&nbsp; 13159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT1808, 3.50%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 6625 | &nbsp;&nbsp;&nbsp;&nbsp; 6401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZA5795, 4.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 8126 | &nbsp;&nbsp;&nbsp;&nbsp; 7938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0353, 6.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 28297 | &nbsp;&nbsp;&nbsp;&nbsp; 28768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0530, 6.00%, 8/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 19396 | &nbsp;&nbsp;&nbsp;&nbsp; 19695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0594, 6.00%, 11/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 13479 | &nbsp;&nbsp;&nbsp;&nbsp; 13683 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD5976, 5.00%, 7/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 12457 | &nbsp;&nbsp;&nbsp;&nbsp; 12540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1278, 5.00%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6483 | &nbsp;&nbsp;&nbsp;&nbsp; 6525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD4986, 5.50%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5130 | &nbsp;&nbsp;&nbsp;&nbsp; 5218 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 325081, ARM, 7.10%, 10/1/2025 (c) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 409902, ARM, 6.37%, 6/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 52597, ARM, 4.31%, 7/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 6.21%, 1/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 865095, ARM, 8.18%, 10/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894571, ARM, 7.42%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0295, ARM, 7.45%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 877009, ARM, 7.62%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 895687, ARM, 6.38%, 5/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 882099, ARM, 6.65%, 7/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884722, ARM, 6.12%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745858, ARM, 6.86%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 7.34%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 887714, ARM, 7.67%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 882241, ARM, 7.53%, 10/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0296, ARM, 6.24%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 870920, ARM, 6.41%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 905196, ARM, 6.67%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920954, ARM, 6.22%, 1/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 256 | &nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888143, ARM, 6.55%, 1/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 913984, ARM, 6.20%, 2/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 910178, ARM, 6.75%, 3/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp;&nbsp;&nbsp; 290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 936588, ARM, 5.77%, 4/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888750, ARM, 6.75%, 4/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 948208, ARM, 6.11%, 7/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 944105, ARM, 7.11%, 7/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950385, ARM, 5.65%, 8/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950382, ARM, 5.79%, 8/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 424 | &nbsp;&nbsp;&nbsp;&nbsp; 431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0081, ARM, 6.55%, 11/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 952182, ARM, 6.70%, 11/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995108, ARM, 7.21%, 11/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 966911, ARM, 6.61%, 12/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 10 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4040, 2.00%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp;&nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4332, 2.00%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10297 | &nbsp;&nbsp;&nbsp;&nbsp; 9782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4367, 1.50%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 13978 | &nbsp;&nbsp;&nbsp;&nbsp; 13064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP3513, 2.00%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 805 | &nbsp;&nbsp;&nbsp;&nbsp; 764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0868, 2.50%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2083 | &nbsp;&nbsp;&nbsp;&nbsp; 1985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4637, 3.00%, 6/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 540 | &nbsp;&nbsp;&nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5461, 3.50%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2711 | &nbsp;&nbsp;&nbsp;&nbsp; 2659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5079, 5.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1362 | &nbsp;&nbsp;&nbsp;&nbsp; 1383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5117, 4.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp;&nbsp;&nbsp; 1123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5491, 5.00%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2760 | &nbsp;&nbsp;&nbsp;&nbsp; 2806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5654, 5.00%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5477 | &nbsp;&nbsp;&nbsp;&nbsp; 5507 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AJ5336, 3.00%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK0971, 3.00%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO0800, 3.00%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP7842, 3.00%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL3439, 4.00%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL4307, 4.00%, 10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6105, 4.00%, 12/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AZ0888, 3.50%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1807 | &nbsp;&nbsp;&nbsp;&nbsp; 1779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AZ8018, 3.00%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3026 | &nbsp;&nbsp;&nbsp;&nbsp; 2946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9465, 3.00%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2267 | &nbsp;&nbsp;&nbsp;&nbsp; 2221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL9065, 3.00%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3768 | &nbsp;&nbsp;&nbsp;&nbsp; 3658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3524, 3.00%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3990 | &nbsp;&nbsp;&nbsp;&nbsp; 3891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5110, 3.00%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8882 | &nbsp;&nbsp;&nbsp;&nbsp; 8636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3540, 3.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6200 | &nbsp;&nbsp;&nbsp;&nbsp; 6066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3559, 3.50%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6598 | &nbsp;&nbsp;&nbsp;&nbsp; 6452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN6225, 3.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2299 | &nbsp;&nbsp;&nbsp;&nbsp; 2249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4258, 2.50%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3546 | &nbsp;&nbsp;&nbsp;&nbsp; 3316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4263, 3.00%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3407 | &nbsp;&nbsp;&nbsp;&nbsp; 3261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4292, 3.00%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2321 | &nbsp;&nbsp;&nbsp;&nbsp; 2253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0870, 3.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 24502 | &nbsp;&nbsp;&nbsp;&nbsp; 23742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3984, 2.50%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2414 | &nbsp;&nbsp;&nbsp;&nbsp; 2238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3924, 3.00%, 6/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 14686 | &nbsp;&nbsp;&nbsp;&nbsp; 14242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4504, 3.50%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3686 | &nbsp;&nbsp;&nbsp;&nbsp; 3619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5951, 3.50%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3702 | &nbsp;&nbsp;&nbsp;&nbsp; 3638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4848, 3.00%, 7/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2551 | &nbsp;&nbsp;&nbsp;&nbsp; 2454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4430, 3.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 3195 | &nbsp;&nbsp;&nbsp;&nbsp; 3132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6749, 3.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2676 | &nbsp;&nbsp;&nbsp;&nbsp; 2588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5122, 6.00%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 8629 | &nbsp;&nbsp;&nbsp;&nbsp; 8843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7413, 6.00%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 6509 | &nbsp;&nbsp;&nbsp;&nbsp; 6682 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256714, 5.50%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0214, 5.00%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp;&nbsp; 332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD5474, 5.00%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0534, 4.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL4165, 4.50%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0804, 4.00%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0792, 4.50%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp;&nbsp;&nbsp; 515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3894, 4.00%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890653, 4.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL5958, 4.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 569 | &nbsp;&nbsp;&nbsp;&nbsp; 561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1037, 3.00%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 537 | &nbsp;&nbsp;&nbsp;&nbsp; 519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL1722, 4.50%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB5811, 3.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 825 | &nbsp;&nbsp;&nbsp;&nbsp; 791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7474, 3.50%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 505 | &nbsp;&nbsp;&nbsp;&nbsp; 490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1270, 2.50%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp; 347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL3190, 4.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp;&nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AU5910, 3.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4358 | &nbsp;&nbsp;&nbsp;&nbsp; 4251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1802, 3.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 470 | &nbsp;&nbsp;&nbsp;&nbsp; 447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4298, 3.50%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8008 | &nbsp;&nbsp;&nbsp;&nbsp; 7814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL8051, 4.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2095 | &nbsp;&nbsp;&nbsp;&nbsp; 2058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL5373, 4.50%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 247 | &nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1922, 4.00%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 12675 | &nbsp;&nbsp;&nbsp;&nbsp; 12524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4606, 4.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 8467 | &nbsp;&nbsp;&nbsp;&nbsp; 8401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2587, 3.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1446 | &nbsp;&nbsp;&nbsp;&nbsp; 1396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2477, 3.00%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1934 | &nbsp;&nbsp;&nbsp;&nbsp; 1856 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2610, 3.00%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 12827 | &nbsp;&nbsp;&nbsp;&nbsp; 12071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS7789, 3.00%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2578 | &nbsp;&nbsp;&nbsp;&nbsp; 2424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM6297, 3.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2068 | &nbsp;&nbsp;&nbsp;&nbsp; 1999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0448, 3.00%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4926 | &nbsp;&nbsp;&nbsp;&nbsp; 4714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1370, 3.00%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1237 | &nbsp;&nbsp;&nbsp;&nbsp; 1160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ2544, 3.00%, 12/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 915 | &nbsp;&nbsp;&nbsp;&nbsp; 852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2922, 3.00%, 2/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1393 | &nbsp;&nbsp;&nbsp;&nbsp; 1337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8386, 3.00%, 6/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1969 | &nbsp;&nbsp;&nbsp;&nbsp; 1871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4583, 4.00%, 6/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1446 | &nbsp;&nbsp;&nbsp;&nbsp; 1425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS1689, 4.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1122 | &nbsp;&nbsp;&nbsp;&nbsp; 1128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4048, 4.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 8954 | &nbsp;&nbsp;&nbsp;&nbsp; 8996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4490, 4.00%, 7/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 8151 | &nbsp;&nbsp;&nbsp;&nbsp; 7962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5205, 6.00%, 11/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 27103 | &nbsp;&nbsp;&nbsp;&nbsp; 27512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS9723, 6.00%, 9/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 24302 | &nbsp;&nbsp;&nbsp;&nbsp; 24640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA0954, 6.00%, 1/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 3194 | &nbsp;&nbsp;&nbsp;&nbsp; 3249 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 250511, 6.50%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555889, 8.00%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 254548, 5.50%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp; 500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555458, 5.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 969 | &nbsp;&nbsp;&nbsp;&nbsp; 982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB0054, 4.50%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1268 | &nbsp;&nbsp;&nbsp;&nbsp; 1260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735503, 6.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 735 | &nbsp;&nbsp;&nbsp;&nbsp; 763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745275, 5.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1310 | &nbsp;&nbsp;&nbsp;&nbsp; 1313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889118, 5.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1393 | &nbsp;&nbsp;&nbsp;&nbsp; 1416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889209, 5.00%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745948, 6.50%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889494, 5.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0249, 5.50%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 967 | &nbsp;&nbsp;&nbsp;&nbsp; 985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995024, 5.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4003, 5.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5307 | &nbsp;&nbsp;&nbsp;&nbsp; 5405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950302, 7.00%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888890, 6.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp;&nbsp;&nbsp; 350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 929005, 6.00%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995049, 5.50%, 2/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 3117 | &nbsp;&nbsp;&nbsp;&nbsp; 3217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890268, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 589 | &nbsp;&nbsp;&nbsp;&nbsp; 611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995149, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 363 | &nbsp;&nbsp;&nbsp;&nbsp; 381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7521, 5.00%, 6/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC3237, 5.00%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB2025, 5.00%, 1/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD6431, 4.50%, 6/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK6740, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1149 | &nbsp;&nbsp;&nbsp;&nbsp; 1099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7185, 4.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp;&nbsp;&nbsp; 562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7590, 3.50%, 10/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 534 | &nbsp;&nbsp;&nbsp;&nbsp; 486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5552, 5.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5050 | &nbsp;&nbsp;&nbsp;&nbsp; 5058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8687, 5.50%, 8/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4477 | &nbsp;&nbsp;&nbsp;&nbsp; 4586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6870, 5.50%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3571 | &nbsp;&nbsp;&nbsp;&nbsp; 3650 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year Pool # 801357, 5.50%, 8/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0254, 2.97%, 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4662 | &nbsp;&nbsp;&nbsp;&nbsp; 4612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1461, 2.59%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1613, 2.55%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9001 | &nbsp;&nbsp;&nbsp;&nbsp; 8805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4482, 2.19%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9933 | &nbsp;&nbsp;&nbsp;&nbsp; 9636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8146, 2.78%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7091 | &nbsp;&nbsp;&nbsp;&nbsp; 6927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN5041, 3.08%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4997 | &nbsp;&nbsp;&nbsp;&nbsp; 4902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6585, 2.84%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6419 | &nbsp;&nbsp;&nbsp;&nbsp; 6222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6586, 2.84%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5873 | &nbsp;&nbsp;&nbsp;&nbsp; 5694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7169, 2.83%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5257 | &nbsp;&nbsp;&nbsp;&nbsp; 5099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9763, 1.24%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB7351, 2.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ8837, 2.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9357, 2.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8048, 3.08%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3160 | &nbsp;&nbsp;&nbsp;&nbsp; 3070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9760, 2.50%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1360, 2.50%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS1625, 1.35%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4935 | &nbsp;&nbsp;&nbsp;&nbsp; 4565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8763, 4.50%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1335 | &nbsp;&nbsp;&nbsp;&nbsp; 1348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9129, 4.39%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3798 | &nbsp;&nbsp;&nbsp;&nbsp; 3822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1557, 3.00%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9814, 3.63%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3505 | &nbsp;&nbsp;&nbsp;&nbsp; 3435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9300, 4.46%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4840 | &nbsp;&nbsp;&nbsp;&nbsp; 4879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9278, 4.65%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1444 | &nbsp;&nbsp;&nbsp;&nbsp; 1463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9323, 4.86%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1224 | &nbsp;&nbsp;&nbsp;&nbsp; 1247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9062, 4.54%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5425 | &nbsp;&nbsp;&nbsp;&nbsp; 5457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9590, 4.82%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7345 | &nbsp;&nbsp;&nbsp;&nbsp; 7455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9454, 5.34%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4505 | &nbsp;&nbsp;&nbsp;&nbsp; 4638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0016, 5.55%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0809, 4.89%, 4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1256 | &nbsp;&nbsp;&nbsp;&nbsp; 1283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0931, 4.71%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8924 | &nbsp;&nbsp;&nbsp;&nbsp; 9051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1385, 4.65%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1274, 4.72%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1980 | &nbsp;&nbsp;&nbsp;&nbsp; 2012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7222, 3.50%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2299 | &nbsp;&nbsp;&nbsp;&nbsp; 2264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3685, 4.28%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11688 | &nbsp;&nbsp;&nbsp;&nbsp; 11639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7221, 3.00%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4110 | &nbsp;&nbsp;&nbsp;&nbsp; 4032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK4847, 2.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6947, 3.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2349 | &nbsp;&nbsp;&nbsp;&nbsp; 2296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6151, 3.50%, 8/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8159 | &nbsp;&nbsp;&nbsp;&nbsp; 7883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6595, 4.00%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1537 | &nbsp;&nbsp;&nbsp;&nbsp; 1515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0077, 4.50%, 3/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7589 | &nbsp;&nbsp;&nbsp;&nbsp; 7350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0194, 4.50%, 7/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1883 | &nbsp;&nbsp;&nbsp;&nbsp; 1824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0238, 4.50%, 8/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 10788 | &nbsp;&nbsp;&nbsp;&nbsp; 10533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0896, 4.00%, 11/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp;&nbsp;&nbsp; 257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1188, 3.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1377 | &nbsp;&nbsp;&nbsp;&nbsp; 1200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1349, 3.00%, 2/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1415 | &nbsp;&nbsp;&nbsp;&nbsp; 1233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1371, 3.00%, 3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 474 | &nbsp;&nbsp;&nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1433, 3.00%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 611 | &nbsp;&nbsp;&nbsp;&nbsp; 532 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1510, 4.00%, 7/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 647 | &nbsp;&nbsp;&nbsp;&nbsp; 610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6167, 3.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 976 | &nbsp;&nbsp;&nbsp;&nbsp; 897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3994, 3.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1251 | &nbsp;&nbsp;&nbsp;&nbsp; 1150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6854, 3.00%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1791 | &nbsp;&nbsp;&nbsp;&nbsp; 1585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7826, 3.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1348 | &nbsp;&nbsp;&nbsp;&nbsp; 1293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2621, 3.50%, 5/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 294 | &nbsp;&nbsp;&nbsp;&nbsp; 263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2744, 3.50%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 733 | &nbsp;&nbsp;&nbsp;&nbsp; 657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL9060, 5.56%, 4/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3478 | &nbsp;&nbsp;&nbsp;&nbsp; 3606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH8493, 3.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1062 | &nbsp;&nbsp;&nbsp;&nbsp; 905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3197, 3.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 494 | &nbsp;&nbsp;&nbsp;&nbsp; 422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0362, 5.50%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 7976 | &nbsp;&nbsp;&nbsp;&nbsp; 8134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5053, 3.00%, 4/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp; 329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0371, 5.00%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1431 | &nbsp;&nbsp;&nbsp;&nbsp; 1448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0573, 5.50%, 12/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 10990 | &nbsp;&nbsp;&nbsp;&nbsp; 11134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6073, 3.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 784 | &nbsp;&nbsp;&nbsp;&nbsp; 689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3913, 3.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 919 | &nbsp;&nbsp;&nbsp;&nbsp; 771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5133, 3.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 433 | &nbsp;&nbsp;&nbsp;&nbsp; 363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5979, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp;&nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4029, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4057, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 716 | &nbsp;&nbsp;&nbsp;&nbsp; 573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6065, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp; 296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4058, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6385, 3.00%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp;&nbsp;&nbsp; 348 |
| &nbsp;&nbsp;&nbsp; GNMA I, 15 Year Pool # 783929, 4.00%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 423946, 9.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786458, 5.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2375 | &nbsp;&nbsp;&nbsp;&nbsp; 2430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784278, 5.50%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1853 | &nbsp;&nbsp;&nbsp;&nbsp; 1903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 687926, 6.50%, 9/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 782 | &nbsp;&nbsp;&nbsp;&nbsp; 819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785282, 4.25%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 7050 | &nbsp;&nbsp;&nbsp;&nbsp; 6714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785859, 5.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 20569 | &nbsp;&nbsp;&nbsp;&nbsp; 20958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE7700, 3.50%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 384 | &nbsp;&nbsp;&nbsp;&nbsp; 350 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 8746, ARM, 4.75%, 11/20/2025 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 8790, ARM, 5.63%, 1/20/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 80053, ARM, 5.63%, 3/20/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 80152, ARM, 5.63%, 1/20/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; GNMA II, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5136, 4.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5208, 3.00%, 10/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5277, 3.50%, 1/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3495, 2.50%, 3/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5811 | &nbsp;&nbsp;&nbsp;&nbsp; 5588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3638, 2.50%, 5/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3204 | &nbsp;&nbsp;&nbsp;&nbsp; 3075 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2525, 8.00%, 12/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4224, 7.00%, 8/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 372 | &nbsp;&nbsp;&nbsp;&nbsp; 389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 530 | &nbsp;&nbsp;&nbsp;&nbsp; 562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4247, 7.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp; 769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8619, 6.50%, 11/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2444 | &nbsp;&nbsp;&nbsp;&nbsp; 2521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8918, 5.50%, 12/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1707 | &nbsp;&nbsp;&nbsp;&nbsp; 1758 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other Pool # MA6081, 3.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 642 | &nbsp;&nbsp;&nbsp;&nbsp; 561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $933,565)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 928978 |
| **Commercial Mortgage-Backed Securities — 2.0%** | **Commercial Mortgage-Backed Securities — 2.0%** | **Commercial Mortgage-Backed Securities — 2.0%** |
| &nbsp;&nbsp;&nbsp; BX Series 2021-MFM1, Class A, 5.14%, 1/15/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1143 | &nbsp;&nbsp;&nbsp;&nbsp; 1142 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-UBS3, Class B, 4.31%, 6/10/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR26, Class B, 4.51%, 10/10/2048 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1954 |
| &nbsp;&nbsp;&nbsp; DBJPM Mortgage Trust Series 2017-C6, Class A3, 3.27%, 6/10/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KC07, Class A7, 2.51%, 10/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K068, Class X1, IO, 0.41%, 8/25/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 63558 | &nbsp;&nbsp;&nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K740, Class X1, IO, 0.73%, 9/25/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 101916 | &nbsp;&nbsp;&nbsp;&nbsp; 1434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K506, Class A1, 4.65%, 5/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1170 | &nbsp;&nbsp;&nbsp;&nbsp; 1179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K507, Class A2, 4.80%, 9/25/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K512, Class A2, 5.00%, 11/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KG04, Class A1, 0.85%, 6/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3434 | &nbsp;&nbsp;&nbsp;&nbsp; 3132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K114, Class X1, IO, 1.11%, 6/25/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 39606 | &nbsp;&nbsp;&nbsp;&nbsp; 1845 |
| &nbsp;&nbsp;&nbsp; FNMA ACES Series 2020-M10, Class X1, IO, 1.77%, 12/25/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 53764 | &nbsp;&nbsp;&nbsp;&nbsp; 3229 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K733, Class C, 4.09%, 9/25/2025 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K735, Class B, 4.02%, 5/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15980 | &nbsp;&nbsp;&nbsp;&nbsp; 15782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K54, Class B, 4.07%, 4/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K50, Class B, 3.79%, 10/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26500 | &nbsp;&nbsp;&nbsp;&nbsp; 26365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K50, Class C, 3.79%, 10/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K51, Class B, 3.97%, 10/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K52, Class B, 3.93%, 1/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K53, Class B, 4.04%, 3/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 27760 | &nbsp;&nbsp;&nbsp;&nbsp; 27491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K55, Class B, 4.17%, 4/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9100 | &nbsp;&nbsp;&nbsp;&nbsp; 9020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K57, Class B, 3.92%, 8/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12794 | &nbsp;&nbsp;&nbsp;&nbsp; 12625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K62, Class B, 3.88%, 1/25/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 5410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K71, Class B, 3.75%, 11/25/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K734, Class B, 4.04%, 2/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp; 3362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K79, Class B, 4.21%, 7/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K90, Class B, 4.32%, 2/25/2052 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13582 | &nbsp;&nbsp;&nbsp;&nbsp; 13244 |
| &nbsp;&nbsp;&nbsp; Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3225 | &nbsp;&nbsp;&nbsp;&nbsp; 3197 |
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C30, Class C, 4.22%, 7/15/2048 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 6956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C31, Class C, 4.60%, 8/15/2048 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2750 | &nbsp;&nbsp;&nbsp;&nbsp; 2200 |
| &nbsp;&nbsp;&nbsp; JPMCC Commercial Mortgage Securities Trust Series 2017-JP6, Class A3, 3.11%, 7/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3895 | &nbsp;&nbsp;&nbsp;&nbsp; 3777 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, 5.24%, 4/15/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 432 | &nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class D, 6.04%, 4/15/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1999 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class B, 3.88%, 11/15/2049 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4140 | &nbsp;&nbsp;&nbsp;&nbsp; 3868 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust Series 2021-L6, Class A2, 2.13%, 6/15/2054 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3676 | &nbsp;&nbsp;&nbsp;&nbsp; 3456 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust Series 2019-PARK, Class B, 2.72%, 12/15/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5014 |
| &nbsp;&nbsp;&nbsp; PRM5 Trust Series 2025-PRM5, Class A, 4.47%, 3/10/2033 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4655 | &nbsp;&nbsp;&nbsp;&nbsp; 4609 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SAVE, Class A, 5.69%, 2/15/2040 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3022 | &nbsp;&nbsp;&nbsp;&nbsp; 3020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C29, Class C, 4.22%, 6/15/2048 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C41, Class A2, 2.59%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1452 | &nbsp;&nbsp;&nbsp;&nbsp; 1397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $221,499)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 215638 |
|  | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>|  |
| **Short-Term Investments — 2.6%** | **Short-Term Investments — 2.6%** | **Short-Term Investments — 2.6%** |
| **Investment Companies — 2.4%** | **Investment Companies — 2.4%** | **Investment Companies — 2.4%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.16% (e) (f) <br>(Cost $260,097)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 260097 | &nbsp;&nbsp;&nbsp;&nbsp; 260097 |
|  | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>|  |
| **U.S. Treasury Obligations — 0.2%** | **U.S. Treasury Obligations — 0.2%** | **U.S. Treasury Obligations — 0.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills, 4.25%, 7/24/2025 (g) (h) <br>(Cost $21,318)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 21449 | &nbsp;&nbsp;&nbsp;&nbsp; 21318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short-Term Investments <br>(Cost $281,415)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 281415 |
| **Total Investments — 99.7%** <br>**(Cost $10,848,893)**<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; **10847089** |
| **Other Assets in Excess of Liabilities — 0.3%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **28470** |
| **NET ASSETS — 100.0%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **10875559** |

---

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

---

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

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ABS | Asset-Backed Securities |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2025. |
| CIFC | Commercial Industrial Finance Corp. |
| CLO | Collateralized Loan Obligations |
| CME | Chicago Mercantile Exchange |
| CSMC | Credit Suisse Mortgage Trust |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| ICE | Intercontinental Exchange |
| IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest <br> rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the <br> rate in effect as of May 31, 2025. The rate may be subject to a cap and floor.<br>|

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

---

| | |
|:---|:---|
| IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown <br> represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or <br> refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.<br>|
| PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is <br> extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on <br> these securities increases.<br>|
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal <br> components of eligible notes and bonds as separate securities.<br>|
| UMBS | Uniform Mortgage-Backed Securities |
| USD | United States Dollar |

---

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

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | 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 May 31, 2025. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments <br> on the underlying pool of assets. The interest rate shown is the current rate as of May 31, 2025. <br>|
| (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 <br> predetermined trigger. The interest rate shown is the current rate as of May 31, 2025. <br>|
| (e) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan <br> Investment Management Inc.<br>|
| (f) | The rate shown is the current yield as of May 31, 2025. |
| (g) | The rate shown is the effective yield as of May 31, 2025.  |
| (h) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. |

---

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

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 2 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 13981 | &nbsp;&nbsp;&nbsp;&nbsp; 09/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2901276 | &nbsp;&nbsp;&nbsp;&nbsp; 4117 |
| **Short Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; (1880)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (208504)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1839)<br>|
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp;&nbsp; (854)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (96342)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1182)<br>|
| U.S. Treasury Long Bond | &nbsp;&nbsp;&nbsp;&nbsp; (430)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (48644)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1006)<br>|
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;&nbsp; (1)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (116)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (3)<br>|
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; (4943)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 09/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (535311)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (3166)<br>|
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (7196)<br>|
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (3079)<br>|

---

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

---

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

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

(Dollar values in thousands)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

(Dollar values in thousands)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1** <br>Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2** <br>Other significant <br>observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3** <br>Significant <br>unobservable inputs<br>| **Total** |
| **Investments in Securities** |  |  |  |  |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $2789872 | &nbsp;&nbsp;&nbsp;&nbsp; $78851 | &nbsp;&nbsp;&nbsp;&nbsp; $2868723 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1562121 | &nbsp;&nbsp;&nbsp;&nbsp; 17380 | &nbsp;&nbsp;&nbsp;&nbsp; 1579501 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 215638 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 215638 |
| Corporate Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Automobiles | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 94572 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 94572 |
| &nbsp;&nbsp;&nbsp; Banks | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1854061 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1854061 |
| &nbsp;&nbsp;&nbsp; Beverages | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 22098 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 22098 |
| &nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 439555 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 439555 |
| &nbsp;&nbsp;&nbsp; Construction & Engineering | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12225 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12225 |
| &nbsp;&nbsp;&nbsp; Consumer Finance | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 145279 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 145279 |
| &nbsp;&nbsp;&nbsp; Containers & Packaging | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15039 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15039 |
| &nbsp;&nbsp;&nbsp; Electric Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 35170 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 35170 |
| &nbsp;&nbsp;&nbsp; Entertainment | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1715 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1715 |
| &nbsp;&nbsp;&nbsp; Financial Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 57234 | &nbsp;&nbsp;&nbsp;&nbsp; 6505 | &nbsp;&nbsp;&nbsp;&nbsp; 63739 |
| &nbsp;&nbsp;&nbsp; Ground Transportation | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9431 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9431 |
| &nbsp;&nbsp;&nbsp; Health Care Providers & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4280 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4280 |
| &nbsp;&nbsp;&nbsp; Independent Power and Renewable Electricity Producers | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15413 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15413 |
| &nbsp;&nbsp;&nbsp; Insurance | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 98711 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 98711 |
| &nbsp;&nbsp;&nbsp; IT Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 |
| &nbsp;&nbsp;&nbsp; Multi-Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 33781 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 33781 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 29000 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 29000 |
| &nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 7838 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 7838 |
| &nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12926 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12926 |
| &nbsp;&nbsp;&nbsp; Tobacco | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 26025 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 26025 |
| &nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16947 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16947 |
| &nbsp;&nbsp;&nbsp; Total Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2931300 | &nbsp;&nbsp;&nbsp;&nbsp; 21505 | &nbsp;&nbsp;&nbsp;&nbsp; 2952805 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 928978 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 928978 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2020029 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2020029 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp; 260097 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 260097 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 21318 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 21318 |
| Total Short-Term Investments | &nbsp;&nbsp;&nbsp;&nbsp; 260097 | &nbsp;&nbsp;&nbsp;&nbsp; 21318 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 281415 |
| **Total Investments in Securities** | &nbsp;&nbsp;&nbsp;&nbsp; $260097 | &nbsp;&nbsp;&nbsp;&nbsp; $10469256 | &nbsp;&nbsp;&nbsp;&nbsp; $117736 | &nbsp;&nbsp;&nbsp;&nbsp; $10847089 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $4117 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $4117 |
| **Depreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $(7196)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(7196)<br>|
| **Total Net Appreciation/ Depreciation in Other** <br>**Financial Instruments**<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(3079)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(3079)<br>|

---

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

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

(Dollar values in thousands)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of** <br>**February 28,** <br>**2025**<br>| **Realized** <br>**gain (loss)**<br>| **Change in net** <br>**unrealized** <br>**appreciation** <br>**(depreciation)**<br>| **Net** <br>**accretion** <br>**(amortization)**<br>| **Purchases**<sup>1</sup> <br>| **Sales**<sup>2</sup> <br>| **Transfers** <br>**into** <br>**Level 3**<br>| **Transfers** <br>**out of** <br>**Level 3**<br>| **Balance as of** <br>**May 31,** <br>**2025**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $47326 | $— | $(125)<br>| $10 | $34996 | $(3356)<br>| $— | $— | $78851 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | 15639 |  | 3 | 6 | 6386 | (1571)<br>|  | (3083)<br>| 17380 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds |  |  |  |  | 21505 |  |  |  | 21505 |
| **Total** | $62965 | $— | $(122)<br>| $16 | $62887 | $(4927)<br>| $— | $(3083)<br>| $117736 |

---

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

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

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

The changes in net unrealized appreciation (depreciation) attributable to securities owned at May 31, 2025, which were valued using significant unobservable inputs (level 3) amounted to $(122).

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at**<br> **May 31, 2025**<br>| &nbsp;&nbsp; **Valuation**<br> **Technique(s)**<br>| &nbsp;&nbsp; **Unobservable**<br> **Input**<br>| &nbsp;&nbsp; **Range (Weighted**<br> **Average) (a)**<br>|
|  | &nbsp;&nbsp; $43984 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 90.00% (13.96%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.46% - 6.04% (5.66%) |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; 43984<br>|  |  |  |
|  | &nbsp;&nbsp; 14887<br>| Discounted Cash Flow | Constant Prepayment Rate | 87.00% - 100.00% (91.55%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.31% - 5.83% (5.68%) |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 14887<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Total | &nbsp;&nbsp; $58871 |  |  |  |

---

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

# The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At May 31, 2025, the value of these investments was $58,865. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. 

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

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2025**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**May 31,** <br>**2025**<br>| **Shares at** <br>**May 31,** <br>**2025**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market Fund <br> Class Institutional Shares, 4.16% (a) (b)<br>| $158186 | $893492 | $791581 | $— | $— | $260097 | 260097 | $2408 | $— |

---

&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.

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

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

(Dollar values in thousands)

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

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate shown is the current yield as of May 31, 2025.

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

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

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

- **a. Name of Series:** JPMorgan Short Duration Bond Fund

- **b. EDGAR series identifier (if any):** S000003490

- **c. LEI of Series:** F9RLRLTOX821HGOUUJ26

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $10905651482.06

**Total Liabilities:** $30562435.24

**Net Assets:** $10875089046.82

**Cash Not Reported:** $575089.65

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 18511.15583000 | **1-Year:** 903426.50844000 | **5-Year:** 809040.80648000 | **10-Year:** 37311.83254000 | **30-Year:** 0.00000000

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

- **3-Month:** 1.41574000 | **1-Year:** 5631.63116000 | **5-Year:** 56.22567000 | **10-Year:** 0.00000000 | **30-Year:** 132.62426000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009657 | 0.35%                | 0.76%                | -0.10%               |
| Class ID C000009654 | 0.33%                | 0.74%                | -0.03%               |
| Class ID C000009656 | 0.28%                | 0.69%                | -0.17%               |
| Class ID C000009653 | 0.35%                | 0.76%                | -0.10%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1693461.77              | $1301099.60                                |
| Month 2  | $2761600.00              | $32786193.33                               |
| Month 3  | $2082842.03              | $-40147939.10                              |

**Designated Index Information**

- **Index Name:** 1-3 Yr Gov/Credit

- **Index Identifier:** 1030TRUSD0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Driven Brands Funding LLC                            | Driven Brands Funding LLC, Series 2022-1A, Class A2                              | CUSIP: 26209XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7848650 | PA      | $7900044.92   | 0.07%             | 2052-10-20      | Fixed         | 7.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-33, Class UZ                                            | CUSIP: 3136ADDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7577356 | PA      | $7065450.03   | 0.06%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-31, Class PB                                            | CUSIP: 31394CY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340181 | PA      | $348666.24    | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JCAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4109936 | PA      | $4032465.61   | 0.04%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K53, Class B                                   | CUSIP: 30288LAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27760000 | PA      | $27491038.91  | 0.25%             | 2049-03-25      | Variable      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2024-HB15, Class A                                              | CUSIP: 15723AAA9<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   8068314 | PA      | $7982573.00   | 0.07%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                      | Sumitomo Mitsui Trust Bank Ltd.                                                  | CUSIP: 86563VBG3<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   7590000 | PA      | $7655547.16   | 0.07%             | 2026-03-09      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2022-A, Class A                                   | CUSIP: 22767DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    843539 | PA      | $845907.17    | 0.01%             | 2031-04-21      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30647 | PA      | $31411.21     | 0.00%             | 2036-06-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4112, Class PB                                              | CUSIP: 3137ATUJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $474983.75    | 0.00%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-22, Class SC                                            | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20924 | PA      | $158.21       | 0.00%             | 2037-03-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                       | AutoZone, Inc.                                                                   | CUSIP: 053332BM3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |  12725000 | PA      | $12926043.80  | 0.12%             | 2030-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-5, Class C                   | CUSIP: 80286PAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6985039.73   | 0.06%             | 2031-02-18      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-16, Class AL                                            | CUSIP: 3136ARTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7846045 | PA      | $7077040.73   | 0.07%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H06, Class FA                                                  | CUSIP: 38376RSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1197217 | PA      | $1202719.04   | 0.01%             | 2066-02-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140HV6U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9933129 | PA      | $9635575.57   | 0.09%             | 2026-11-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-72, Class KA                                            | CUSIP: 3136B7JJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154656 | PA      | $132912.53    | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-91, Class DZ                                            | CUSIP: 3136AGGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22040907 | PA      | $20919319.89  | 0.19%             | 2033-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2024-2A, Class A                            | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1270712 | PA      | $1288103.02   | 0.01%             | 2038-03-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4314, Class LP                                              | CUSIP: 3137B9GC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12765 | PA      | $12676.63     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd.                                      | Galaxy CLO Ltd., Series 2022-30A, Class XR                                       | CUSIP: 36321RAL0<br>LEI: 549300QQ6WEN7DIBD138 | Long             | ABS-CBDO         | CORP              | KY        |   2187500 | PA      | $2186272.81   | 0.02%             | 2038-01-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156915 | PA      | $162297.38    | 0.00%             | 2035-10-01      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-2, Class D             | CUSIP: 02529YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5054679.00   | 0.05%             | 2029-08-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  16465000 | PA      | $16619178.92  | 0.15%             | 2029-04-12      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204810 | PA      | $211863.15    | 0.00%             | 2036-03-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-45, Class ZA                                            | CUSIP: 31397S2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6434079 | PA      | $6370915.38   | 0.06%             | 2031-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-5, Class PE                                             | CUSIP: 31396YGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60143 | PA      | $60919.12     | 0.00%             | 2037-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99044 | PA      | $97170.13     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Independence Plaza Trust                             | Independence Plaza Trust, Series 2018-INDP, Class C                              | CUSIP: 45378YAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3225000 | PA      | $3196773.19   | 0.03%             | 2035-07-10      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-25, Class DC                                            | CUSIP: 3136ACKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266172 | PA      | $255920.34    | 0.00%             | 2039-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4043, Class PB                                              | CUSIP: 3137APSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110688 | PA      | $107861.25    | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CarVal CLO Ltd.                                      | CarVal CLO Ltd., Series 2019-2A, Class AR2                                       | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9863901 | PA      | $9844834.35   | 0.09%             | 2032-07-20      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B                       | CUSIP: 22537EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6085677.60   | 0.06%             | 2033-07-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-74, Class KA                                            | CUSIP: 3136AX5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39875 | PA      | $39627.70     | 0.00%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XMTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3701913 | PA      | $3637795.81   | 0.03%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H21, Class FA                                                  | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169286 | PA      | $169441.80    | 0.00%             | 2064-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3803, Class FY                                              | CUSIP: 3137A73K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4652 | PA      | $4650.76      | 0.00%             | 2041-01-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25834 | PA      | $26300.99     | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-100, Class TL                                           | CUSIP: 3136A8PS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175722 | PA      | $171672.09    | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                            | MFA Trust, Series 2024-RTL3, Class A1                                            | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12170000 | PA      | $12188349.93  | 0.11%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCIV LLC                                        | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                        | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1668772 | PA      | $1667267.73   | 0.02%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4330, Class PE                                              | CUSIP: 3137B9P74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95298 | PA      | $92072.94     | 0.00%             | 2043-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                              | Carmax Auto Owner Trust, Series 2025-1, Class A3                                 | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $11098373.00  | 0.10%             | 2030-01-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140XF6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2083444 | PA      | $1984593.06   | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H27, Class FA                                                  | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683271 | PA      | $684598.39    | 0.01%             | 2065-09-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261572 | PA      | $249779.68    | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K52, Class B                                   | CUSIP: 30294DAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2978153.10   | 0.03%             | 2049-01-25      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J8NL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1251023 | PA      | $1150038.78   | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3546, Class A                                               | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266627 | PA      | $269950.85    | 0.00%             | 2039-02-15      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2995, Class FT                                              | CUSIP: 31395VM48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43534 | PA      | $43159.25     | 0.00%             | 2029-05-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H30, Class GA                                                  | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51640 | PA      | $51720.12     | 0.00%             | 2062-12-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class B            | CUSIP: 10805MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1075000 | PA      | $1087133.42   | 0.01%             | 2030-02-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust             | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-SD1, Class M1              | CUSIP: 61746RCF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53369 | PA      | $52153.64     | 0.00%             | 2033-03-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                                | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  13000000 | PA      | $13028878.46  | 0.12%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-84, Class PZ                                            | CUSIP: 31393EMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35375 | PA      | $35828.43     | 0.00%             | 2033-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-45, Class CB                                            | CUSIP: 3136BAZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3281575 | PA      | $3088571.12   | 0.03%             | 2044-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-1A, Class A2                               | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9945313 | PA      | $10012940.15  | 0.09%             | 2030-05-20      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                   | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20750000 | PA      | $20811832.93  | 0.19%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2933, Class EM                                              | CUSIP: 31395MS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27862 | PA      | $28018.82     | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class A                                                 | CUSIP: 30322DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4050000 | PA      | $3886282.40   | 0.04%             | 2038-09-17      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4997000 | PA      | $4810195.15   | 0.04%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4089, Class AI                                              | CUSIP: 3137ASWC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    665510 | PA      | $13342.62     | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-4, Class C             | CUSIP: 024945AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7700000 | PA      | $7690565.96   | 0.07%             | 2031-08-12      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                          | Business Jet Securities LLC, Series 2024-1A, Class A                             | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13162284 | PA      | $13371765.86  | 0.12%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  37875000 | PA      | $37816640.31  | 0.35%             | 2028-05-07      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3540, Class A                                               | CUSIP: 31398EB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109479 | PA      | $109730.43    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4346, Class A                                               | CUSIP: 3137BAJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27329 | PA      | $27061.65     | 0.00%             | 2039-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JBWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2349232 | PA      | $2295752.71   | 0.02%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class C            | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10434000 | PA      | $10540072.04  | 0.10%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 290, Class 200                                             | CUSIP: 31283CAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251562 | PA      | $235070.07    | 0.00%             | 2032-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC - GNMA, Series 56, Class Z                                                 | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1543 | PA      | $1546.76      | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  12660000 | PA      | $12665446.46  | 0.12%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K114, Class X1  | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39606524 | PA      | $1844784.75   | 0.02%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  18740000 | PA      | $19018398.63  | 0.17%             | 2028-05-17      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3117073 | PA      | $3216934.83   | 0.03%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3726, Class PA                                              | CUSIP: 3137GAB55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30291 | PA      | $30010.87     | 0.00%             | 2040-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JBKH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1537292 | PA      | $1515019.90   | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2021-2, Class A                           | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1227745 | PA      | $1174801.35   | 0.01%             | 2026-12-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DSRF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5130208 | PA      | $5218352.79   | 0.05%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-50, Class PE                                            | CUSIP: 31395DTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214361 | PA      | $218071.70    | 0.00%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class B                       | CUSIP: 22535LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9343000 | PA      | $9330516.82   | 0.09%             | 2034-11-15      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  16450000 | PA      | $16875862.54  | 0.16%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19020000 | PA      | $17641792.92  | 0.16%             | 2027-07-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4217, Class UD                                              | CUSIP: 3137B2KL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86294 | PA      | $83764.36     | 0.00%             | 2028-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3131XBND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5070155 | PA      | $4976479.09   | 0.05%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-64, Class PF                                            | CUSIP: 3136AEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397202 | PA      | $390849.87    | 0.00%             | 2043-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31403DTP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6734 | PA      | $6871.99      | 0.00%             | 2036-08-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M7X35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128692 | PA      | $130987.32    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4054, Class AE                                              | CUSIP: 3137APVD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19205 | PA      | $19000.97     | 0.00%             | 2027-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647203 | PA      | $610142.01    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-75, Class NB                                                   | CUSIP: 38376CMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28449 | PA      | $28373.33     | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Galaxy XXVI CLO Ltd.                                 | Galaxy CLO Ltd., Series 2018-26A, Class AR                                       | CUSIP: 36321LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4826908 | PA      | $4828134.20   | 0.04%             | 2031-11-22      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC               | Virginia Power Fuel Securitization LLC, Series A-1                               | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   2731412 | PA      | $2743369.03   | 0.03%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31385XB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    968896 | PA      | $981930.93    | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4338, Class A                                               | CUSIP: 3137BB2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252641 | PA      | $240449.56    | 0.00%             | 2044-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC07, Class A7  | CUSIP: 3137FQK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2040854 | PA      | $1988500.79   | 0.02%             | 2026-10-25      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49721 | PA      | $49395.43     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-H07, Class FE                                                  | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21933 | PA      | $21972.47     | 0.00%             | 2068-02-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec          | Federation des Caisses Desjardins du Quebec                                      | CUSIP: 31429KAL7<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |  15410000 | PA      | $15694104.46  | 0.14%             | 2029-04-26      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2662, Class MT                                              | CUSIP: 31394H4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33221 | PA      | $33013.03     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4144, Class KD                                              | CUSIP: 3137AWTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358262 | PA      | $328079.43    | 0.00%             | 2042-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-2A, Class C                                | CUSIP: 67578YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2530359.75   | 0.02%             | 2032-07-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D                  | CUSIP: 80290CCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2039752 | PA      | $2054868.08   | 0.02%             | 2033-12-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-H13, Class FK                                                  | CUSIP: 38380QGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2663190 | PA      | $2657596.15   | 0.02%             | 2070-07-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2303, Class FY                                              | CUSIP: 3133TSRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60258 | PA      | $59830.83     | 0.00%             | 2031-04-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-35, Class LP                                            | CUSIP: 3136ADTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6100000 | PA      | $5877543.98   | 0.05%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                              | PowerPay Issuance Trust, Series 2024-1A, Class A                                 | CUSIP: 73934RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2083066 | PA      | $2123805.12   | 0.02%             | 2039-02-18      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31286WSK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1106269 | PA      | $1081397.76   | 0.01%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N1, Class B                          | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14857000 | PA      | $15020933.62  | 0.14%             | 2030-05-10      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NU3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1256370 | PA      | $1282775.88   | 0.01%             | 2029-04-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4122, Class PA                                              | CUSIP: 3137AV2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144181 | PA      | $137283.18    | 0.00%             | 2042-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                 | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |  13067000 | PA      | $12989857.66  | 0.12%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2007-16, Class KU                                                   | CUSIP: 38373MC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1391520 | PA      | $56904.11     | 0.00%             | 2037-04-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 359, Class 350                                             | CUSIP: 3132J0SJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1202438 | PA      | $1113682.15   | 0.01%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-19, Class E                                                    | CUSIP: 38384KAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23667889 | PA      | $23724339.61  | 0.22%             | 2057-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOLT CI LLC                                          | VOLT CI LLC, Series 2021-NP10, Class A1                                          | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3114726 | PA      | $3107097.01   | 0.03%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-51, Class DW                                            | CUSIP: 3136B5P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353946 | PA      | $345924.07    | 0.00%             | 2048-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-27, Class PL                                            | CUSIP: 3136A4CU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94515 | PA      | $90816.34     | 0.00%             | 2042-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class JE                                              | CUSIP: 3137AY5J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484399 | PA      | $464198.50    | 0.00%             | 2041-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 384335000 | PA      | $384229907.44 | 3.53%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                  | Bank of New York Mellon Corp. (The)                                              | CUSIP: 06406RBX4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  21905000 | PA      | $22137942.15  | 0.20%             | 2028-07-21      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H07, Class FG                                                  | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115881 | PA      | $116262.43    | 0.00%             | 2067-02-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1205799 | PA      | $967843.18    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                               | John Deere Owner Trust, Series 2024-C, Class A4                                  | CUSIP: 477911AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6830000 | PA      | $6787494.86   | 0.06%             | 2031-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust          | Goldman Home Improvement Trust Issuer Trust, Series 2021-GRN2, Class A           | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3622474 | PA      | $3531189.90   | 0.03%             | 2051-06-25      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NVRF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2031097.88   | 0.02%             | 2029-07-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-4, Class C                   | CUSIP: 802927AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14925000 | PA      | $15275406.17  | 0.14%             | 2031-12-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                            | Bank of Ireland Group plc                                                        | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |  11690000 | PA      | $11733206.24  | 0.11%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2020-AA, Class A                            | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140915 | PA      | $136885.98    | 0.00%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-87, Class TB                                            | CUSIP: 3136AQXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2556476 | PA      | $2528930.99   | 0.02%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                               | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   6720000 | PA      | $6777061.87   | 0.06%             | 2028-07-14      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418AEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536512 | PA      | $518889.95    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-94, Class K                                             | CUSIP: 3136A8XZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    728084 | PA      | $619397.84    | 0.01%             | 2042-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-N1, Class B                          | CUSIP: 14688FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12447935 | PA      | $12470911.50  | 0.11%             | 2027-11-10      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                 | Lhome Mortgage Trust, Series 2025-RTL2, Class A1                                 | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3504216.45   | 0.03%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140QBWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3406858 | PA      | $3261262.01   | 0.03%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4103, Class HA                                              | CUSIP: 3137AUA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55616 | PA      | $54569.17     | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-64, Class PK                                            | CUSIP: 3136A6PB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705769 | PA      | $698464.46    | 0.01%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class A3                         | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10198000 | PA      | $10239411.02  | 0.09%             | 2029-04-10      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-55, Class PN                                            | CUSIP: 31394EJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1158860 | PA      | $1201153.71   | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10610000 | PA      | $10737905.04  | 0.10%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QHTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76832 | PA      | $78574.22     | 0.00%             | 2037-03-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-58, Class FP                                            | CUSIP: 3136AEJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442450 | PA      | $436835.97    | 0.00%             | 2043-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78016HZX1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  21930000 | PA      | $22074944.58  | 0.20%             | 2027-07-23      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  20170000 | PA      | $20351631.25  | 0.19%             | 2027-04-23      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5418, Class DA                                              | CUSIP: 3137HD4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7394016 | PA      | $7528542.50   | 0.07%             | 2049-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2492, Class GH                                              | CUSIP: 31392RWH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121666 | PA      | $126104.17    | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-91, Class WH                                                   | CUSIP: 38379XZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834264 | PA      | $761343.67    | 0.01%             | 2046-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR1, Class C                                  | CUSIP: 33768NAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6923374.50   | 0.06%             | 2039-05-19      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XKLE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14685566 | PA      | $14241914.82  | 0.13%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-5, Class NA                                                    | CUSIP: 38382CFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2566412 | PA      | $2369119.03   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31414HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15157 | PA      | $15465.44     | 0.00%             | 2037-12-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2022-1, Class D                           | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16223741 | PA      | $15928050.79  | 0.15%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975549 | PA      | $896789.49    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97635 | PA      | $100005.12    | 0.00%             | 2038-04-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-129, Class ZT                                           | CUSIP: 31393UJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4519461 | PA      | $4657375.94   | 0.04%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9M43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2854185 | PA      | $2846899.80   | 0.03%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2024-A, Class A2                                  | CUSIP: 227927AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5621685 | PA      | $5684143.53   | 0.05%             | 2030-08-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                        | Volvo Financial Equipment LLC, Series 2025-1A, Class A3                          | CUSIP: 92887TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8108000 | PA      | $8110522.40   | 0.07%             | 2029-05-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31371NDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30454 | PA      | $30510.04     | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-18, Class KY                                            | CUSIP: 31397QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466186 | PA      | $452971.16    | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-13, Class KD                                            | CUSIP: 3136ACJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76408 | PA      | $73926.16     | 0.00%             | 2028-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-33, Class DT                                            | CUSIP: 3136APCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355371 | PA      | $332406.19    | 0.00%             | 2045-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363105 | PA      | $380672.51    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QJD94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13659 | PA      | $14008.06     | 0.00%             | 2036-07-01      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-48, Class CN                                            | CUSIP: 31397UFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7274 | PA      | $7227.64      | 0.00%             | 2026-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 2 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     12660 | NC      | $4135439.64   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2020-SFR3, Class A                                            | CUSIP: 001807AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5682394 | PA      | $5624747.73   | 0.05%             | 2037-09-17      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| M&T Equipment 2023-LEAF1 Notes                       | M&T Equipment Notes, Series 2023-1A, Class A3                                    | CUSIP: 551925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11454000 | PA      | $11511675.47  | 0.11%             | 2030-07-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class A                                   | CUSIP: 68377TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $14966284.50  | 0.14%             | 2033-02-08      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                               | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   8895000 | PA      | $9300320.07   | 0.09%             | 2029-10-03      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-13, Class PA                                            | CUSIP: 3136B02X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6848658 | PA      | $5970092.03   | 0.05%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                  | NatWest Markets plc                                                              | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  15580000 | PA      | $15653483.38  | 0.14%             | 2028-03-21      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2017-K71, Class B                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $972078.40    | 0.01%             | 2050-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   8440000 | PA      | $8342609.57   | 0.08%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A3                         | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6271045.00   | 0.06%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                  | Take-Two Interactive Software, Inc.                                              | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1714767.11   | 0.02%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-2, Class GB                                             | CUSIP: 3136BUZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1909168 | PA      | $1861383.78   | 0.02%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 139000000 | PA      | $128254648.09 | 1.18%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                         | DNB Bank ASA                                                                     | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  20942000 | PA      | $19846695.29  | 0.18%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury Long Bond                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -430 | NC      | $-1006625.06  | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BRSP Ltd.                                            | BRSP Ltd., Series 2021-FL1, Class A                                              | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2278480 | PA      | $2255968.35   | 0.02%             | 2038-08-19      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H12, Class FB                                                  | CUSIP: 38376RBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3625526 | PA      | $3627268.54   | 0.03%             | 2065-05-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3887, Class GM                                              | CUSIP: 3137ADN37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8263 | PA      | $8212.91      | 0.00%             | 2026-07-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4457, Class KZ                                              | CUSIP: 3137BHWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7384978 | PA      | $6487374.08   | 0.06%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-C, Class D                               | CUSIP: 12664DAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5040000 | PA      | $5101460.28   | 0.05%             | 2030-04-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5A41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49920 | PA      | $48687.16     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329KUS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13947212 | PA      | $13158911.72  | 0.12%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                            | Aqua Finance Issuer Trust, Series 2025-A, Class A                                | CUSIP: 038394AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23095732 | PA      | $23036914.60  | 0.21%             | 2050-12-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-2A, Class B                                | CUSIP: 67578YAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2022182.40   | 0.02%             | 2032-07-20      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4830, Class AP                                              | CUSIP: 3137FHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    735024 | PA      | $709382.18    | 0.01%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2025-1A, Class A3                         | CUSIP: 69392HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5036669.50   | 0.05%             | 2032-07-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR6, Class B                            | CUSIP: 74333HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $16978132.50  | 0.16%             | 2038-07-17      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                  | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                   | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23017930 | PA      | $23072008.11  | 0.21%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3523, Class MX                                              | CUSIP: 31398CGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33700 | PA      | $33495.91     | 0.00%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX                                                   | BX, Series 2021-MFM1, Class A                                                    | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1142990 | PA      | $1142275.81   | 0.01%             | 2034-01-15      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138EQVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1347995 | PA      | $1293405.64   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-112, Class AY                                           | CUSIP: 3136A84A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13424992 | PA      | $12721000.19  | 0.12%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3822, Class ZG                                              | CUSIP: 3137A8KF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5032454 | PA      | $4872493.11   | 0.04%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  10480000 | PA      | $10545065.29  | 0.10%             | 2027-01-18      | Variable      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Trust                      | GreenSky Home Improvement Trust, Series 2024-1, Class A2                         | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5371143 | PA      | $5403724.51   | 0.05%             | 2059-06-25      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BOF VII AL Funding Trust I                           | BOF Funding Trust, Series 2023-CAR3, Class C                                     | CUSIP: 097093AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1186881 | PA      | $1176211.50   | 0.01%             | 2032-07-26      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                    | Affirm Asset Securitization Trust, Series 2024-X1, Class A                       | CUSIP: 00834XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1054852 | PA      | $1055998.78   | 0.01%             | 2029-05-15      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                            | Commercial Mortgage Trust, Series 2014-UBS3, Class B                             | CUSIP: 12591YBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2620830.00   | 0.02%             | 2047-06-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                          | Visio Trust, Series 2019-2, Class A1                                             | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    598496 | PA      | $587332.67    | 0.01%             | 2054-11-25      | Variable      | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                            | MFA Trust, Series 2021-NQM2, Class A1                                            | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772955 | PA      | $675075.94    | 0.01%             | 2064-11-25      | Variable      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust               | Consumer Portfolio Services Auto Trust, Series 2025-B, Class C                   | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3503406.90   | 0.03%             | 2031-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3005, Class ED                                              | CUSIP: 31395WHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $33.78        | 0.00%             | 2025-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12663 | PA      | $12942.83     | 0.00%             | 2036-12-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                 | DBJPM Mortgage Trust, Series 2017-C6, Class A3                                   | CUSIP: 23312JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193346 | PA      | $188429.74    | 0.00%             | 2050-06-10      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Lease Trust                              | Nissan Auto Lease Trust, Series 2024-A, Class A2A                                | CUSIP: 65481CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2583161 | PA      | $2586053.37   | 0.02%             | 2026-10-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K90, Class B                                   | CUSIP: 30308QAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13582000 | PA      | $13243650.65  | 0.12%             | 2052-02-25      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A                | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97769 | PA      | $97111.84     | 0.00%             | 2037-07-20      | Fixed         | 1.33%                 | Yes           |                  2 | On Loan: No      |
| CarVal CLO II Ltd.                                   | CarVal CLO Ltd., Series 2019-1A, Class AR2                                       | CUSIP: 14686AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  26847002 | PA      | $26815322.87  | 0.25%             | 2032-04-20      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal                                                                 | CUSIP: 06368LNT9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  20025000 | PA      | $20185161.75  | 0.19%             | 2026-06-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class SA                                                   | CUSIP: 38374XAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1560628 | PA      | $45235.12     | 0.00%             | 2039-03-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45278 | PA      | $46958.97     | 0.00%             | 2036-03-01      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class C                                  | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3834044.00   | 0.04%             | 2038-08-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    915072 | PA      | $852396.60    | 0.01%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2023-1A, Class A                                | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1388874 | PA      | $1392087.85   | 0.01%             | 2029-05-21      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Toyota Lease Owner Trust                             | Toyota Lease Owner Trust, Series 2024-A, Class A3                                | CUSIP: 89238GAD3<br>LEI: 254900MVSB4M6HOIRE71 | Long             | ABS-O            | CORP              | US        |  17568161 | PA      | $17651617.11  | 0.16%             | 2027-04-20      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LCH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4661629 | PA      | $4612008.63   | 0.04%             | 2025-12-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                      | Santander UK Group Holdings plc                                                  | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   5660000 | PA      | $5617812.28   | 0.05%             | 2026-08-21      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                 | Macquarie Group Ltd.                                                             | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  15754000 | PA      | $15434300.45  | 0.14%             | 2027-01-12      | Variable      | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-126, Class CA                                           | CUSIP: 3136AHRG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178725 | PA      | $176863.89    | 0.00%             | 2041-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    983000 | PA      | $981172.23    | 0.01%             | 2026-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-26, Class CA                                            | CUSIP: 3136A37J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98427 | PA      | $96751.75     | 0.00%             | 2027-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4480, Class LA                                              | CUSIP: 3137BKD72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38678 | PA      | $38454.44     | 0.00%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H29, Class FA                                                  | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15624 | PA      | $15682.07     | 0.00%             | 2062-10-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-43, Class PZ                                            | CUSIP: 3136AKKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280763 | PA      | $1047628.14   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-20, Class HD                                            | CUSIP: 3136BRZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7460092 | PA      | $7525724.94   | 0.07%             | 2046-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33660 | PA      | $34712.86     | 0.00%             | 2037-02-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 386, Class 20                                               | CUSIP: 3136FFSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105066 | PA      | $17676.85     | 0.00%             | 2038-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2023-1, Class B                             | CUSIP: 924933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5044643.00   | 0.05%             | 2028-11-15      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-72, Class AF                                            | CUSIP: 3136AFCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12659 | PA      | $12637.95     | 0.00%             | 2042-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H29, Class FJ                                                  | CUSIP: 38376RLR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1774378 | PA      | $1776757.02   | 0.02%             | 2065-11-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal, Series f2f                                                     | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  23025000 | PA      | $23006227.72  | 0.21%             | 2027-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 200780000 | PA      | $201815271.88 | 1.86%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-36, Class AM                                                   | CUSIP: 38380VT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303957 | PA      | $293937.89    | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class B                          | CUSIP: 14688NAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5792283.00   | 0.05%             | 2030-05-10      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-35, Class KF                                            | CUSIP: 31398PKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95663 | PA      | $95510.50     | 0.00%             | 2040-04-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A4            | CUSIP: 39154GAK2<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   5138000 | PA      | $5123605.89   | 0.05%             | 2032-01-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-73, Class PG                                            | CUSIP: 3136AFTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    532494 | PA      | $504311.89    | 0.00%             | 2042-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                       | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6103039.80   | 0.06%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4545, Class PG                                              | CUSIP: 3137BMP75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258710 | PA      | $252220.10    | 0.00%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  31760000 | PA      | $32022256.61  | 0.29%             | 2027-01-12      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329932 | PA      | $323071.57    | 0.00%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NUAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5185682.15   | 0.05%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418B2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1445672 | PA      | $1395601.13   | 0.01%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2025-1A, Class A1                        | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  22250000 | PA      | $22123197.25  | 0.20%             | 2033-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class NI                                                   | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193697 | PA      | $14884.84     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Trans-Allegheny Interstate Line Co.                  | Trans-Allegheny Interstate Line Co.                                              | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5675000 | PA      | $5718750.05   | 0.05%             | 2031-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622A2XF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1852642 | PA      | $1902831.98   | 0.02%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                               | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   8200000 | PA      | $8707741.62   | 0.08%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5235000 | PA      | $5388439.00   | 0.05%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-91, Class BR                                            | CUSIP: 31394BYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39009 | PA      | $40320.13     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust           | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3            | CUSIP: 48128KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3895243 | PA      | $3777226.47   | 0.03%             | 2050-07-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138E5CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13421 | PA      | $13237.93     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2019-A, Class A                                       | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    954359 | PA      | $922934.75    | 0.01%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-B, Class A3                                   | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560000 | PA      | $1573031.46   | 0.01%             | 2027-11-22      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5275, Class KA                                              | CUSIP: 3137H9GK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7296916 | PA      | $7339585.73   | 0.07%             | 2047-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XFQA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4925528 | PA      | $4713687.75   | 0.04%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                     | Skandinaviska Enskilda Banken AB                                                 | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |  15980000 | PA      | $16381509.96  | 0.15%             | 2029-03-05      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2022-1A, Class A1                        | CUSIP: 69701CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2056829 | PA      | $2054727.41   | 0.02%             | 2030-04-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  35240000 | PA      | $35313996.95  | 0.32%             | 2027-01-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3884, Class BL                                              | CUSIP: 3137ABUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4026145 | PA      | $3995808.08   | 0.04%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2021-4, Class A1                                                | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4196500 | PA      | $4197788.04   | 0.04%             | 2026-04-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H23, Class WA                                                  | CUSIP: 38375BXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53566 | PA      | $53804.44     | 0.00%             | 2062-10-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H11, Class FA                                                  | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98599 | PA      | $98945.60     | 0.00%             | 2061-03-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2025-1, Class A                             | CUSIP: 91684PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18000000 | PA      | $17913132.00  | 0.16%             | 2035-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-94, Class BZ                                            | CUSIP: 31392GTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543065 | PA      | $557786.09    | 0.01%             | 2033-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 9                                                | CUSIP: 3136FAA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182999 | PA      | $21141.30     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3909, Class HG                                              | CUSIP: 3137AEHD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22562 | PA      | $22453.18     | 0.00%             | 2026-08-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6435000 | PA      | $5986812.29   | 0.06%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-64, Class PL                                            | CUSIP: 31394EFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26208 | PA      | $26844.34     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2022-2A, Class B                  | CUSIP: 03236XAC1<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1612854.40   | 0.01%             | 2028-10-20      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4574, Class YH                                              | CUSIP: 3137BNQP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251107 | PA      | $224061.89    | 0.00%             | 2046-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2022-2A, Class A1R                                     | CUSIP: 12567MAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  23000000 | PA      | $22901813.00  | 0.21%             | 2035-04-19      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-17, Class KA                                            | CUSIP: 3136B4CV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176154 | PA      | $171241.28    | 0.00%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                               | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   5000000 | PA      | $4806251.90   | 0.04%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-56, Class DC                                            | CUSIP: 31395NXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142977 | PA      | $140810.79    | 0.00%             | 2036-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2602, Class FH                                              | CUSIP: 31393PHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93616 | PA      | $93167.48     | 0.00%             | 2033-04-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ENYB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10537 | PA      | $10453.63     | 0.00%             | 2029-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-134, Class JY                                           | CUSIP: 3136AAWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14228572 | PA      | $13528917.54  | 0.12%             | 2032-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2020-SFR3, Class B                                            | CUSIP: 001807AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9780000 | PA      | $9683392.18   | 0.09%             | 2037-09-17      | Fixed         | 1.81%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132FNAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392400 | PA      | $385279.56    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-96, Class MA                                            | CUSIP: 3136B0AK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388541 | PA      | $340491.08    | 0.00%             | 2047-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-41, Class AL                                                   | CUSIP: 38379AX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3903830 | PA      | $3639460.40   | 0.03%             | 2044-03-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132J4AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42580 | PA      | $43226.60     | 0.00%             | 2031-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138WHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2577975 | PA      | $2424073.05   | 0.02%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  27965000 | PA      | $28324344.38  | 0.26%             | 2030-02-13      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ERCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3767910 | PA      | $3658047.72   | 0.03%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-106, Class XL                                                  | CUSIP: 38376JDC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1245347 | PA      | $62607.46     | 0.00%             | 2037-06-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3871, Class KB                                              | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9423996 | PA      | $9779917.89   | 0.09%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-112, Class SW                                           | CUSIP: 31398GKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1544106 | PA      | $133831.95    | 0.00%             | 2040-01-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31286REQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241069 | PA      | $235708.11    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2693, Class Z                                               | CUSIP: 31394KH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89657 | PA      | $92467.35     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 174665000 | PA      | $172754601.56 | 1.59%             | 2027-09-15      | Fixed         | 3.38%                 | 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        | 260097061 | NS      | $260097061.25 | 2.39%             |  |  |  | No            |                  1 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-B, Class A4                                   | CUSIP: 78437VAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9128802.60   | 0.08%             | 2028-12-20      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H19, Class FC                                                  | CUSIP: 38375B5N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208215 | PA      | $209422.85    | 0.00%             | 2063-08-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-56, Class Z                                             | CUSIP: 3136AKYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5478390 | PA      | $5096346.92   | 0.05%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H14, Class FK                                                  | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44959 | PA      | $45148.30     | 0.00%             | 2062-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 13                                               | CUSIP: 3136FAA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69284 | PA      | $8000.39      | 0.00%             | 2033-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust     | World Omni Automobile Lease Securitization Trust, Series 2024-A, Class A3        | CUSIP: 981946AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11571000 | PA      | $11681818.94  | 0.11%             | 2027-10-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3662, Class ZB                                              | CUSIP: 31398VSY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99305 | PA      | $102321.44    | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alliant Energy Finance LLC                           | Alliant Energy Finance LLC                                                       | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |   4640000 | PA      | $4515288.77   | 0.04%             | 2026-03-15      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-12, Class GB                                            | CUSIP: 3136BPL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21128474 | PA      | $21431532.15  | 0.20%             | 2045-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4740, Class JA                                              | CUSIP: 3137FCCP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1534275 | PA      | $1356803.96   | 0.01%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5425000 | PA      | $5456894.28   | 0.05%             | 2028-09-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716418 | PA      | $573263.95    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418FH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5476716 | PA      | $5506581.43   | 0.05%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                            | Bank of Ireland Group plc                                                        | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   8870000 | PA      | $9057824.73   | 0.08%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                          | Diamond Resorts Owner Trust, Series 2021-1A, Class A                             | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    873187 | PA      | $865309.39    | 0.01%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                           | Street Capital Group, Inc.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   2840000 | PA      | $2840000.00   | 0.03%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-H26, Class LF                                                  | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15007 | PA      | $15023.23     | 0.00%             | 2058-08-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1872113 | PA      | $1877158.63   | 0.02%             | 2032-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-34, Class UP                                            | CUSIP: 3136AN4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481899 | PA      | $466919.46    | 0.00%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-8, Class V                                              | CUSIP: 3136BQU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27168293 | PA      | $27692944.92  | 0.25%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Magnetite XV Ltd.                                    | Magnetite Ltd., Series 2015-15A, Class AR                                        | CUSIP: 55953MAN2<br>LEI: 549300B3V0K3DX0M2K31 | Long             | ABS-CBDO         | CORP              | KY        |    196448 | PA      | $196515.00    | 0.00%             | 2031-07-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5115, Class FD                                              | CUSIP: 3137H0W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5618095 | PA      | $5401083.51   | 0.05%             | 2043-08-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-61, Class B                                             | CUSIP: 31397UXP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31469 | PA      | $31210.83     | 0.00%             | 2026-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2898, Class PG                                              | CUSIP: 31395K5H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    458591 | PA      | $465297.07    | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-65, Class DB                                            | CUSIP: 3136BSK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11373696 | PA      | $11402564.61  | 0.10%             | 2051-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-3A, Class A2                      | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4795820 | PA      | $4844899.20   | 0.04%             | 2029-10-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2024-B, Class A3                                  | CUSIP: 881934AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7666000 | PA      | $7681337.37   | 0.07%             | 2027-10-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class C                  | CUSIP: 94989KBB8<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1215219.88   | 0.01%             | 2048-06-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 31418C5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6597792 | PA      | $6452360.80   | 0.06%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3939, Class BZ                                              | CUSIP: 3137AGEG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1783657 | PA      | $1746457.45   | 0.02%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919398 | PA      | $770746.94    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332249 | PA      | $349988.12    | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2022-3A, Class C                                     | CUSIP: 23345RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5900348 | PA      | $5949995.60   | 0.05%             | 2028-07-17      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-58, Class B                                             | CUSIP: 31396QQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391124 | PA      | $390356.77    | 0.00%             | 2029-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4094, Class BF                                              | CUSIP: 3137ASV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189463 | PA      | $189389.20    | 0.00%             | 2032-08-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                               | Alternative Loan Trust, Series 2003-J3, Class 2A1                                | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5431 | PA      | $5934.34      | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H24, Class FA                                                  | CUSIP: 38376RHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2955163 | PA      | $2958059.41   | 0.03%             | 2065-09-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-104, Class MA                                                  | CUSIP: 38379YRU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3210 | PA      | $3201.56      | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  22970000 | PA      | $23140955.60  | 0.21%             | 2029-04-23      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class KS                                                   | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    647025 | PA      | $22148.84     | 0.00%             | 2039-03-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-97, Class EL                                            | CUSIP: 3136AGDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14274289 | PA      | $13707672.90  | 0.13%             | 2033-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHY80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106515 | PA      | $109640.24    | 0.00%             | 2037-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC              | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class A                   | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |   5257021 | PA      | $5273155.62   | 0.05%             | 2031-12-26      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2022-3, Class D                               | CUSIP: 33845PAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6666000 | PA      | $6621583.11   | 0.06%             | 2028-07-17      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4097, Class HJ                                              | CUSIP: 3137ATKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153233 | PA      | $148947.75    | 0.00%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                             | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDJ0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |  10550000 | PA      | $10420991.86  | 0.10%             | 2026-09-24      | Variable      | 1.00%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816ED7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  23360000 | PA      | $23490274.98  | 0.22%             | 2029-04-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3864, Class PG                                              | CUSIP: 3137ABEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2458 | PA      | $2449.81      | 0.00%             | 2026-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5000000 | PA      | $4845972.20   | 0.04%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3572, Class JS                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152396 | PA      | $9872.87      | 0.00%             | 2039-09-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2024-1A, Class A2                 | CUSIP: 03237CAB8<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |   4357011 | PA      | $4390332.59   | 0.04%             | 2031-01-21      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XX Ltd.                                 | Symphony CLO Ltd., Series 2018-20A, Class AR2                                    | CUSIP: 87166VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14663563 | PA      | $14673064.51  | 0.13%             | 2032-01-16      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-81, Class LA                                            | CUSIP: 3136B8GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316210 | PA      | $267387.37    | 0.00%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4478, Class PC                                              | CUSIP: 3137BJ6P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    827791 | PA      | $718922.51    | 0.01%             | 2045-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 356, Class 16                                               | CUSIP: 3136FCQL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50559 | PA      | $6904.65      | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4745, Class EC                                              | CUSIP: 3137FDBS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    854157 | PA      | $839338.87    | 0.01%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H06, Class FB                                                  | CUSIP: 38375UUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5607944 | PA      | $5613593.22   | 0.05%             | 2065-02-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  18126000 | PA      | $17763546.70  | 0.16%             | 2026-12-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3786, Class NA                                              | CUSIP: 3137A5UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40037 | PA      | $39981.09     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                                      | BofA Auto Trust, Series 2024-1A, Class A3                                        | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6975000 | PA      | $7044152.94   | 0.06%             | 2028-11-15      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  16801000 | PA      | $16601859.76  | 0.15%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                            | FHF Trust, Series 2021-2A, Class A                                               | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12309 | PA      | $12289.80     | 0.00%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       809 | PA      | $814.38       | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187774 | PA      | $188904.51    | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409GSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12231 | PA      | $12633.78     | 0.00%             | 2036-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138LQ3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18427 | PA      | $18160.57     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410GYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392622 | PA      | $1416382.89   | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THL Credit Wind River CLO Ltd.                       | THL Credit Wind River CLO Ltd., Series 2019-3A, Class AR2                        | CUSIP: 97314JAJ4<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   7823380 | PA      | $7818013.27   | 0.07%             | 2031-04-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4283, Class ZL                                              | CUSIP: 3137B6HE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21912164 | PA      | $21075335.78  | 0.19%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  17115000 | PA      | $17524827.23  | 0.16%             | 2027-10-18      | Variable      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XLAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3685931 | PA      | $3618971.08   | 0.03%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class C                   | CUSIP: 80288DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4627613.80   | 0.04%             | 2031-03-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-1, Class D             | CUSIP: 02530UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3625000 | PA      | $3660938.61   | 0.03%             | 2029-04-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Buttermilk Park CLO Ltd.                             | Buttermilk Park CLO Ltd., Series 2018-1A, Class A1R                              | CUSIP: 124166AQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6001752 | PA      | $5999981.96   | 0.06%             | 2031-10-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NVMY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1979895 | PA      | $2012381.62   | 0.02%             | 2029-07-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H14, Class FG                                                  | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151033 | PA      | $151555.53    | 0.00%             | 2063-05-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309585 | PA      | $1313053.82   | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-92, Class B                                             | CUSIP: 31398TB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1779567 | PA      | $1779416.35   | 0.02%             | 2030-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588799 | PA      | $611161.10    | 0.01%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.       | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A         | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2245722 | PA      | $2244430.50   | 0.02%             | 2036-11-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                       | Cascade Funding Mortgage Trust, Series 2025-HB16, Class A                        | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3630494 | PA      | $3540086.98   | 0.03%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EKRL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229402 | PA      | $226061.57    | 0.00%             | 2032-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6558000 | PA      | $6446966.57   | 0.06%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K55, Class B                                   | CUSIP: 30289HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9100000 | PA      | $9019728.90   | 0.08%             | 2049-04-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC             | OnDeck Asset Securitization Trust LLC, Series 2023-1A, Class A                   | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5850000 | PA      | $5899449.47   | 0.05%             | 2030-08-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XLCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446117 | PA      | $1424638.77   | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2711, Class FC                                              | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541568 | PA      | $546277.31    | 0.01%             | 2033-02-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99618 | PA      | $101830.64    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2022-HB9, Class A                                               | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3783523 | PA      | $3709831.17   | 0.03%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4088, Class BP                                              | CUSIP: 3137ASP32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3283832 | PA      | $2971920.60   | 0.03%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138EPTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1790981 | PA      | $1585323.90   | 0.01%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-60, Class PD                                            | CUSIP: 3136AEV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400127 | PA      | $375489.87    | 0.00%             | 2042-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                   | Energy Transfer LP                                                               | CUSIP: 226373AQ1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  16335000 | PA      | $16335730.01  | 0.15%             | 2027-05-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C                       | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5154557.50   | 0.05%             | 2034-10-16      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2023-1A, Class A                            | CUSIP: 432917AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1668971 | PA      | $1693476.21   | 0.02%             | 2038-01-25      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class B                              | CUSIP: 55348UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5013600.00   | 0.05%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class A                | CUSIP: 82652QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    536514 | PA      | $525200.79    | 0.00%             | 2037-11-20      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1277951 | PA      | $1253937.62   | 0.01%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                   | CNO Global Funding                                                               | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |  25335000 | PA      | $25909777.93  | 0.24%             | 2027-06-04      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ERB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3478315 | PA      | $3605936.47   | 0.03%             | 2047-04-01      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XG2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1122490 | PA      | $1127919.15   | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG04, Class A1  | CUSIP: 3137F84R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3433827 | PA      | $3132481.67   | 0.03%             | 2030-06-25      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5417, Class V                                               | CUSIP: 3137HDGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2275046 | PA      | $2303423.72   | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B2                | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11521473 | PA      | $11567139.19  | 0.11%             | 2032-05-20      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4158, Class TC                                              | CUSIP: 3137AXVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165935 | PA      | $155452.31    | 0.00%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2020-4, Class A1                                                | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6272242 | PA      | $6265185.74   | 0.06%             | 2025-10-25      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4316, Class DZ                                              | CUSIP: 3137B8ZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3117831 | PA      | $2847423.68   | 0.03%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410G3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71014 | PA      | $71354.83     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2021-2A, Class A                                  | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4888000 | PA      | $4617762.52   | 0.04%             | 2032-04-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class C                       | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $11553760.20  | 0.11%             | 2031-01-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust            | Bayview Opportunity Master Fund Trust, Series 2024-SN1, Class A2                 | CUSIP: 072926AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819957 | PA      | $820782.71    | 0.01%             | 2027-04-15      | Fixed         | 5.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3769, Class ZC                                              | CUSIP: 3137A3YW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    872050 | PA      | $864434.40    | 0.01%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3429, Class S                                               | CUSIP: 31397RMT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329285 | PA      | $28274.00     | 0.00%             | 2038-03-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3779, Class LB                                              | CUSIP: 3137A4FE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185542 | PA      | $184765.22    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CRIBS Mortgage Trust                                 | CRIBS Mortgage Trust, Series 2025-RTL1, Class A1                                 | CUSIP: 12704NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2492141.25   | 0.02%             | 2040-05-25      | Variable      | 5.81%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XF6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24501718 | PA      | $23741617.23  | 0.22%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  21380000 | PA      | $21373175.29  | 0.20%             | 2026-08-11      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140XMB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2710641 | PA      | $2658570.01   | 0.02%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                     | Harley-Davidson Motorcycle Trust, Series 2024-B, Class A3                        | CUSIP: 41284PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8867000 | PA      | $8840075.35   | 0.08%             | 2029-07-16      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36181BRV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383712 | PA      | $350266.78    | 0.00%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418EYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27102808 | PA      | $27512408.16  | 0.25%             | 2043-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XNQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2676057 | PA      | $2587828.26   | 0.02%             | 2037-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418FC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2760259 | PA      | $2806251.94   | 0.03%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3632, Class PK                                              | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153686 | PA      | $155636.43    | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                     | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9187545.60   | 0.08%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                  | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8729 | PA      | $8752.82      | 0.00%             | 2033-10-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-72, Class LY                                            | CUSIP: 3136AFCX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170269 | PA      | $168127.87    | 0.00%             | 2041-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-2, Class C             | CUSIP: 02531BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11879000 | PA      | $12021277.16  | 0.11%             | 2030-04-12      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H01, Class FT                                                  | CUSIP: 38380LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160007 | PA      | $159751.57    | 0.00%             | 2068-10-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32005000 | PA      | $32326300.12  | 0.30%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362404 | PA      | $1382955.27   | 0.01%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4143, Class AE                                              | CUSIP: 3137AX6R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1045491 | PA      | $989498.62    | 0.01%             | 2042-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-61, Class BA                                            | CUSIP: 3136AETK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1289513 | PA      | $1208537.46   | 0.01%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3101, Class UZ                                              | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118155 | PA      | $124237.36    | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC              | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19996494.00  | 0.18%             | 2027-03-25      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-26, Class ZV                                            | CUSIP: 3136ADXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10688339 | PA      | $9833722.82   | 0.09%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-1A, Class B                     | CUSIP: 30167MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3164000 | PA      | $3172192.86   | 0.03%             | 2029-08-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                            | Auxilior Term Funding LLC, Series 2023-1A, Class A2                              | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6420962 | PA      | $6472713.27   | 0.06%             | 2028-12-15      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DPP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374143 | PA      | $312948.73    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-155, Class A                                                   | CUSIP: 38378ARH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10429 | PA      | $10400.27     | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1013194 | PA      | $1032732.25   | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3706, Class P                                               | CUSIP: 3137A17D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2445001 | PA      | $2374748.90   | 0.02%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416XHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236638 | PA      | $235197.26    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-7, Class FB                                             | CUSIP: 31392HY31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122937 | PA      | $123402.99    | 0.00%             | 2033-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140QBWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3545701 | PA      | $3316087.73   | 0.03%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2020-5, Class A1                                | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661315 | PA      | $632768.58    | 0.01%             | 2065-05-25      | Variable      | 1.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418BAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469646 | PA      | $446573.20    | 0.00%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3318, Class HF                                              | CUSIP: 31397HDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85074 | PA      | $83231.10     | 0.00%             | 2037-05-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-196, Class A                                                   | CUSIP: 38384GUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12963895 | PA      | $12837954.57  | 0.12%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-128, Class VF                                           | CUSIP: 3136A9QJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282809 | PA      | $280339.38    | 0.00%             | 2042-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A4                         | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $993067.70    | 0.01%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XIX Ltd.                                | Symphony CLO Ltd., Series 2018-19A, Class A                                      | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1704325 | PA      | $1705294.92   | 0.02%             | 2031-04-16      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AET89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6817149 | PA      | $6771306.88   | 0.06%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-123, Class BP                                           | CUSIP: 3136A2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2111718 | PA      | $1967670.75   | 0.02%             | 2041-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137909 | PA      | $141599.11    | 0.00%             | 2037-11-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9MA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28296968 | PA      | $28768208.53  | 0.26%             | 2043-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec          | Federation des Caisses Desjardins du Quebec                                      | CUSIP: 31429KAG8<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   2052000 | PA      | $2049822.85   | 0.02%             | 2025-08-23      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 217785000 | PA      | $220115978.99 | 2.02%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                | Gray Oak Pipeline LLC                                                            | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12825000 | PA      | $12664640.43  | 0.12%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329702 | PA      | $332430.53    | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4401, Class BL                                              | CUSIP: 3137BELA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6921642 | PA      | $6717590.11   | 0.06%             | 2034-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2021-N4, Class B                          | CUSIP: 14687HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    752016 | PA      | $724477.38    | 0.01%             | 2028-09-11      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-84, Class LA                                            | CUSIP: 3136AUKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673010 | PA      | $635036.97    | 0.01%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westpac New Zealand Ltd.                             | Westpac New Zealand Ltd.                                                         | CUSIP: 96122FAB3<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |  10695000 | PA      | $10807027.67  | 0.10%             | 2027-02-26      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-58, Class ST                                            | CUSIP: 31395NM95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355251 | PA      | $34054.89     | 0.00%             | 2036-07-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2500, Class FD                                              | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77336 | PA      | $77170.98     | 0.00%             | 2032-03-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-38, Class FK                                            | CUSIP: 31394DTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215579 | PA      | $213716.46    | 0.00%             | 2035-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO Ltd.                                     | Elmwood CLO Ltd., Series 2021-3A, Class A1R                                      | CUSIP: 29002VAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21665000 | PA      | $21683826.89  | 0.20%             | 2034-04-20      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-15, Class NZ                                            | CUSIP: 3136B1JF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6877983 | PA      | $6142067.81   | 0.06%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4156, Class PE                                              | CUSIP: 3137AXTQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1461565 | PA      | $1376914.31   | 0.01%             | 2033-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4703, Class KZ                                              | CUSIP: 3137F26G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5167953 | PA      | $4720104.21   | 0.04%             | 2047-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                   | Honda Auto Receivables Owner Trust, Series 2024-1, Class A3                      | CUSIP: 437918AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18416000 | PA      | $18571294.76  | 0.17%             | 2028-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-74, Class LQ                                            | CUSIP: 3136A0LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14731730 | PA      | $14644351.94  | 0.13%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                        | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     77170 | PA      | $72943.12     | 0.00%             | 2034-08-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4664, Class PH                                              | CUSIP: 3137BWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    623871 | PA      | $612548.95    | 0.01%             | 2045-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3859, Class JB                                              | CUSIP: 3137AAM26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219122 | PA      | $222761.40    | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XK4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3195215 | PA      | $3131736.62   | 0.03%             | 2037-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H05, Class FB                                                  | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56853 | PA      | $56358.32     | 0.00%             | 2062-02-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4015, Class GL                                              | CUSIP: 3137ANCL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20052 | PA      | $19710.34     | 0.00%             | 2027-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class D                   | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7234000 | PA      | $7297531.16   | 0.07%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2016-1A, Class AR3                                     | CUSIP: 17180TBL5<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |  25299531 | PA      | $25261227.38  | 0.23%             | 2031-10-21      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Dryden 49 Senior Loan Fund                           | Dryden Senior Loan Fund, Series 2017-49A, Class AR                               | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |    275122 | PA      | $275120.17    | 0.00%             | 2030-07-18      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                | ARI Fleet Lease Trust, Series 2025-A, Class A2                                   | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6290000 | PA      | $6261323.26   | 0.06%             | 2034-01-17      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-58, Class FA                                            | CUSIP: 31398RYS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208158 | PA      | $207333.96    | 0.00%             | 2040-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3085000 | PA      | $3101750.59   | 0.03%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                      | Dryden CLO Ltd., Series 2019-72A, Class ARR                                      | CUSIP: 26252NAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11197687 | PA      | $11194552.05  | 0.10%             | 2032-05-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J5QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1236712 | PA      | $1159760.14   | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-20, Class PB                                            | CUSIP: 3136B4MJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217035 | PA      | $196196.83    | 0.00%             | 2048-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A                         | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180062 | PA      | $178994.67    | 0.00%             | 2029-01-16      | Fixed         | 1.22%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                  | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775000 | PA      | $1816606.00   | 0.02%             | 2042-01-25      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust               | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A4                  | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    719171 | PA      | $722828.00    | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5369, Class V                                               | CUSIP: 3137HBDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7218528 | PA      | $7339201.33   | 0.07%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 206805000 | PA      | $207467421.23 | 1.91%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4265, Class FD                                              | CUSIP: 3137B5QZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167963 | PA      | $166187.43    | 0.00%             | 2035-01-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  32870000 | PA      | $32944729.95  | 0.30%             | 2029-03-03      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90639 | PA      | $92493.81     | 0.00%             | 2036-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4304, Class DW                                              | CUSIP: 3137B7S42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    515399 | PA      | $505239.14    | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N3, Class B                          | CUSIP: 14687WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13500000 | PA      | $13447354.05  | 0.12%             | 2030-12-10      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-H03, Class FA                                                  | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487261 | PA      | $489690.03    | 0.00%             | 2060-03-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                            | BXMT Ltd., Series 2021-FL4, Class A                                              | CUSIP: 05609GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3775418 | PA      | $3744361.43   | 0.03%             | 2038-05-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                          | Business Jet Securities LLC, Series 2024-2A, Class A                             | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20670324 | PA      | $20613859.10  | 0.19%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MMWD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7280929 | PA      | $6966579.76   | 0.06%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506245 | PA      | $516929.17    | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153815 | PA      | $155305.04    | 0.00%             | 2037-07-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-11, Class PH                                            | CUSIP: 3136AVTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171021 | PA      | $147269.62    | 0.00%             | 2047-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7166129 | PA      | $7346087.61   | 0.07%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                        | Volvo Financial Equipment LLC, Series 2024-1A, Class A3                          | CUSIP: 92887QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11818000 | PA      | $11795825.89  | 0.11%             | 2028-10-16      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                       | Protective Life Global Funding                                                   | CUSIP: 74368CBS2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |  17325000 | PA      | $17429049.27  | 0.16%             | 2026-04-14      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                      | Stream Innovations Issuer Trust, Series 2025-1A, Class A                         | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15025725.79  | 0.14%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3447, Class DB                                              | CUSIP: 31397TQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974912 | PA      | $988727.21    | 0.01%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Jackson National Life Global Funding                 | Jackson National Life Global Funding                                             | CUSIP: 46849LTC5<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9997525.50   | 0.09%             | 2025-06-11      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128PUJ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4280 | PA      | $4260.73      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class B                       | CUSIP: 22536VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8184696.80   | 0.08%             | 2034-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-4A, Class A2                      | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7588166 | PA      | $7564162.83   | 0.07%             | 2029-12-17      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                      | Accelerated LLC, Series 2021-1H, Class A                                         | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    668345 | PA      | $617073.03    | 0.01%             | 2040-10-20      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Clarus Capital Funding LLC                           | Clarus Capital Funding LLC, Series 2024-1A, Class A2                             | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8553424 | PA      | $8546963.83   | 0.08%             | 2032-08-20      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-2, Class B                             | CUSIP: 26207AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20728000 | PA      | $20679799.11  | 0.19%             | 2029-07-16      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5509, Class DV                                              | CUSIP: 3137HJEW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15644833 | PA      | $16011241.69  | 0.15%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-46, Class KI                                            | CUSIP: 3136A5L87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985536 | PA      | $16869.62     | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                        | AIB Group plc                                                                    | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14120000 | PA      | $14852233.69  | 0.14%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 144440000 | PA      | $144789816.35 | 1.33%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140JN4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2299340 | PA      | $2249135.23   | 0.02%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2020-1A, Class A                                | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |    523343 | PA      | $521602.61    | 0.00%             | 2040-07-16      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93203 | PA      | $92009.00     | 0.00%             | 2037-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3826, Class BK                                              | CUSIP: 3137A7KX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24475 | PA      | $24328.01     | 0.00%             | 2026-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-19, Class EB                                                   | CUSIP: 38384KBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6718860 | PA      | $6772382.94   | 0.06%             | 2059-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-145, Class PA                                                  | CUSIP: 38382AWJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150928 | PA      | $143773.04    | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class C                       | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6615000 | PA      | $6704493.67   | 0.06%             | 2035-07-16      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XME28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5050307 | PA      | $5058398.50   | 0.05%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-15, Class PE                                            | CUSIP: 3136AVMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900468 | PA      | $862500.84    | 0.01%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-26, Class NV                                                   | CUSIP: 38384J7C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10061933 | PA      | $10394531.42  | 0.10%             | 2034-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C                | CUSIP: 05377RJA3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2040023.80   | 0.02%             | 2030-06-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                  | NatWest Markets plc                                                              | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  15350000 | PA      | $15740895.27  | 0.14%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2020-SFR1, Class A                                  | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5665401 | PA      | $5604447.95   | 0.05%             | 2037-08-17      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35027 | PA      | $35932.91     | 0.00%             | 2036-08-01      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5280, Class T                                               | CUSIP: 3137H9LW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16913069 | PA      | $17517099.38  | 0.16%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XLL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2550726 | PA      | $2453787.60   | 0.02%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7TE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429311 | PA      | $426339.01    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D            | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2018113.80   | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-98, Class ME                                                   | CUSIP: 38377JPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9200581 | PA      | $9188520.41   | 0.08%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3721, Class DG                                              | CUSIP: 3137GACW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76453 | PA      | $73748.46     | 0.00%             | 2030-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2020-3, Class D                               | CUSIP: 33844TAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2321961 | PA      | $2311820.30   | 0.02%             | 2026-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   6000000 | PA      | $6074309.46   | 0.06%             | 2028-02-08      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A9RX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2563087 | PA      | $2485770.06   | 0.02%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H19, Class FA                                                  | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209599 | PA      | $210321.12    | 0.00%             | 2067-08-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MDLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8068 | PA      | $8039.63      | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4941, Class NP                                              | CUSIP: 3137FQTZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715878 | PA      | $606240.49    | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128Q3Q87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324080 | PA      | $334194.02    | 0.00%             | 2035-10-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  28690000 | PA      | $29345603.22  | 0.27%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-93, Class PJ                                            | CUSIP: 3136AGLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458549 | PA      | $441725.04    | 0.00%             | 2042-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138YR7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1806879 | PA      | $1779142.19   | 0.02%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                         | ING Groep NV                                                                     | CUSIP: 456837BQ5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |  22300000 | PA      | $22388198.06  | 0.21%             | 2029-03-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust            | Santander Consumer Auto Receivables Trust, Series 2021-AA, Class C               | CUSIP: 80282YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    509388 | PA      | $508146.34    | 0.00%             | 2026-11-16      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  12500000 | PA      | $12704314.38  | 0.12%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-39, Class FT                                            | CUSIP: 31398PT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392031 | PA      | $394561.44    | 0.00%             | 2035-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2024-3A, Class A                            | CUSIP: 43283NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9775134 | PA      | $9790067.07   | 0.09%             | 2040-08-27      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36225CE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       124 | PA      | $124.32       | 0.00%             | 2028-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2022-SFR3, Class C                                            | CUSIP: 66981YAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1939621.20   | 0.02%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class B                       | CUSIP: 37988XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2025022.60   | 0.02%             | 2030-03-15      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class B                | CUSIP: 826934AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    770802 | PA      | $785264.56    | 0.01%             | 2039-07-20      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1927 | PA      | $1927.72      | 0.00%             | 2027-06-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class D                          | CUSIP: 55316VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1998749.99   | 0.02%             | 2038-04-15      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4142, Class PG                                              | CUSIP: 3137AX5T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25456 | PA      | $24636.94     | 0.00%             | 2032-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3936, Class AB                                              | CUSIP: 3137AH2W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68725 | PA      | $67920.87     | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282602 | PA      | $289900.81    | 0.00%             | 2037-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class AR               | CUSIP: 64133WAL9<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |  17250000 | PA      | $17195127.75  | 0.16%             | 2035-07-16      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H05, Class FB                                                  | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32334 | PA      | $32514.36     | 0.00%             | 2063-12-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-18, Class TG                                            | CUSIP: 3136ACA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162300 | PA      | $156387.61    | 0.00%             | 2033-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd.                                | Symphony CLO Ltd., Series 2015-16A, Class ARR                                    | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |  13082454 | PA      | $13085174.70  | 0.12%             | 2031-10-15      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5440, Class MV                                              | CUSIP: 3137HDYX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1038980 | PA      | $1035890.00   | 0.01%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4295000 | PA      | $4289603.33   | 0.04%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132ADR91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10885598 | PA      | $10795231.41  | 0.10%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                       | NiSource, Inc.                                                                   | CUSIP: 65473PAK1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   7710000 | PA      | $7650208.95   | 0.07%             | 2025-08-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2023-2A, Class A                             | CUSIP: 42806MBW8<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7112367.50   | 0.07%             | 2029-09-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7589318 | PA      | $7349799.21   | 0.07%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2022-1A, Class A                           | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4732526 | PA      | $4719384.18   | 0.04%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P3, Class A4                         | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1792449.40   | 0.02%             | 2029-07-10      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Reference REMIC, Series R005, Class ZA                                    | CUSIP: 31396HAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1749258 | PA      | $1803523.44   | 0.02%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31412MDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229645 | PA      | $239017.23    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding              | Equitable Financial Life Global Funding                                          | CUSIP: 29449WAE7<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |  13395000 | PA      | $13111582.56  | 0.12%             | 2026-01-09      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-10, Class UB                                            | CUSIP: 3136ACAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    883968 | PA      | $750148.08    | 0.01%             | 2043-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2015-K50, Class C                                   | CUSIP: 30293WAG7<br>LEI: 549300R3J0I74BM2LZ86 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1985576.00   | 0.02%             | 2048-10-25      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H14, Class FB                                                  | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23698 | PA      | $23764.14     | 0.00%             | 2065-05-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4505, Class P                                               | CUSIP: 3137BKWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746252 | PA      | $721479.04    | 0.01%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                              | CarMax Auto Owner Trust, Series 2024-2, Class A3                                 | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5125000 | PA      | $5193061.54   | 0.05%             | 2029-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CWZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795725 | PA      | $722936.85    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2023-1A, Class A2                 | CUSIP: 03236YAB1<br>LEI: 5493000K1GV1VHEHGY40 | Long             | ABS-O            | CORP              | US        |   2736454 | PA      | $2763032.53   | 0.03%             | 2029-12-20      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-96, Class WP                                                   | CUSIP: 38378HCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1826639 | PA      | $1917784.77   | 0.02%             | 2042-08-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                      | Danske Bank A/S                                                                  | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   7155000 | PA      | $7372809.50   | 0.07%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                         | Dell Equipment Finance Trust, Series 2025-1, Class A3                            | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3267100.20   | 0.03%             | 2031-02-24      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-27, Class E                                             | CUSIP: 3136AVN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2106909 | PA      | $1936017.04   | 0.02%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class B                  | CUSIP: 80290CBF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164839 | PA      | $165082.98    | 0.00%             | 2032-12-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H02, Class FB                                                  | CUSIP: 38375UCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136005 | PA      | $136905.16    | 0.00%             | 2063-12-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140X64J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3989822 | PA      | $3891476.31   | 0.04%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H10, Class FH                                                  | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548920 | PA      | $549092.49    | 0.01%             | 2065-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-88, Class ZC                                            | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1311013 | PA      | $1327880.06   | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J2Z58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2320485.23   | 0.02%             | 2027-12-01      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                         | OCP CLO Ltd., Series 2017-13A, Class AR2                                         | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2304054.90   | 0.02%             | 2037-11-26      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254816 | PA      | $259572.79    | 0.00%             | 2037-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LKWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335000 | PA      | $1348367.17   | 0.01%             | 2028-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-85, Class HA                                            | CUSIP: 3136AYTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025495 | PA      | $955500.47    | 0.01%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-1, Class B                             | CUSIP: 26208WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3763556.63   | 0.03%             | 2029-01-16      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2727, Class PM                                              | CUSIP: 31394NN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510454 | PA      | $509846.09    | 0.00%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-3, Class GA                                                    | CUSIP: 38378YZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2775256 | PA      | $2618664.19   | 0.02%             | 2044-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-31, Class NL                                            | CUSIP: 3136ADFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263453 | PA      | $260730.29    | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XKXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2320908 | PA      | $2252526.35   | 0.02%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                          | Hertz Vehicle Financing LLC, Series 2022-4A, Class A                             | CUSIP: 42806MBA6<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $758446.79    | 0.01%             | 2026-09-25      | Fixed         | 3.73%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                     | CUSIP: 06738ECT0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  13245000 | PA      | $13272179.67  | 0.12%             | 2028-09-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-4, Class B                   | CUSIP: 802927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7291000 | PA      | $7372108.00   | 0.07%             | 2028-12-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BOF VII AL Funding Trust I                           | BOF Funding Trust, Series 2023-CAR3, Class A2                                    | CUSIP: 097093AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5780742 | PA      | $5860261.99   | 0.05%             | 2032-07-26      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2929, Class PG                                              | CUSIP: 31395MBH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51848 | PA      | $52725.97     | 0.00%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417CN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824662 | PA      | $790675.39    | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XPGX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6509263 | PA      | $6681791.23   | 0.06%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XQUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4476989 | PA      | $4586130.16   | 0.04%             | 2048-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NVA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8923812 | PA      | $9051306.50   | 0.08%             | 2029-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CWYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3520617 | PA      | $3423873.31   | 0.03%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-12, Class ZA                                                   | CUSIP: 38378PE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12843741 | PA      | $11697104.64  | 0.11%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ares XXXVII CLO Ltd.                                 | Ares CLO Ltd., Series 2015-4A, Class A1RR                                        | CUSIP: 04015NAN4<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |   4177467 | PA      | $4175854.08   | 0.04%             | 2030-10-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2024-SFR2, Class C                            | CUSIP: 74290XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $13014537.20  | 0.12%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-124, Class HG                                           | CUSIP: 3136A9Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46240 | PA      | $45141.61     | 0.00%             | 2027-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EVK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1120109 | PA      | $1123011.15   | 0.01%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NH2S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132729 | PA      | $134506.06    | 0.00%             | 2037-06-01      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2022-4, Class A                             | CUSIP: 91678YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460677 | PA      | $460666.58    | 0.00%             | 2032-08-20      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2686, Class KZ                                              | CUSIP: 31394KN83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406254 | PA      | $396454.91    | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCM XIV LP                                           | LCM LP, Series 14A, Class AR                                                     | CUSIP: 50184VAR5<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |   2701965 | PA      | $2702643.05   | 0.02%             | 2031-07-20      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVI LLC                                        | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                        | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1124782 | PA      | $1124094.43   | 0.01%             | 2051-03-27      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EH4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43236 | PA      | $43130.07     | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2020-SFR2, Class A                                  | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6135420 | PA      | $6037473.85   | 0.06%             | 2037-10-19      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MRMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68437 | PA      | $66896.25     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust            | Bayview Opportunity Master Fund Trust, Series 2024-SN1, Class C                  | CUSIP: 072926AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029000 | PA      | $1040324.35   | 0.01%             | 2028-12-15      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2015-K50, Class B                                   | CUSIP: 30293WAE2<br>LEI: 549300R3J0I74BM2LZ86 | Long             | ABS-MBS          | USGSE             | US        |  26500000 | PA      | $26365327.00  | 0.24%             | 2048-10-25      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-125, Class AB                                           | CUSIP: 3136AHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150162 | PA      | $145675.42    | 0.00%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5806000 | PA      | $5634363.96   | 0.05%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2023-3A, Class C                                     | CUSIP: 23345WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6746000 | PA      | $6841701.45   | 0.06%             | 2029-05-15      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202F2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33707 | PA      | $33418.15     | 0.00%             | 2027-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                   | Regional Management Issuance Trust, Series 2021-2, Class A                       | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1103000 | PA      | $1043817.21   | 0.01%             | 2033-08-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-109, Class VZ                                           | CUSIP: 31396X2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    972646 | PA      | $985167.22    | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury Ultra Bond                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-2665.83     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P2, Class B                          | CUSIP: 14688PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8186000 | PA      | $8351719.02   | 0.08%             | 2030-08-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Westlake Flooring Master Trust                       | Westlake Flooring Master Trust, Series 2024-1A, Class A                          | CUSIP: 96043GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $7780146.73   | 0.07%             | 2028-02-15      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138LX6X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593750 | PA      | $562385.61    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                      | Santander UK Group Holdings plc                                                  | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  10560000 | PA      | $10656230.53  | 0.10%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2022-1, Class D                             | CUSIP: 92512VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2763302.58   | 0.03%             | 2029-07-16      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NUBC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47449 | PA      | $48529.51     | 0.00%             | 2036-08-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36179SBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3204109 | PA      | $3075176.37   | 0.03%             | 2031-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-3, Class C                   | CUSIP: 80285XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4056342.40   | 0.04%             | 2030-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H08, Class FA                                                  | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369629 | PA      | $371425.80    | 0.00%             | 2061-02-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31417Y7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277710 | PA      | $257301.26    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H14, Class FH                                                  | CUSIP: 38380LZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10658985 | PA      | $10644936.07  | 0.10%             | 2069-08-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3132ADEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1413423 | PA      | $1378287.20   | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-61, Class FH                                            | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437760 | PA      | $440367.51    | 0.00%             | 2032-11-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                         | Mizuho Financial Group, Inc.                                                     | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  18070000 | PA      | $17488693.52  | 0.16%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-18, Class DE                                            | CUSIP: 3136AJVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517042 | PA      | $508468.79    | 0.00%             | 2042-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  16745000 | PA      | $16978637.63  | 0.16%             | 2027-08-07      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2114265 | PA      | $2092954.98   | 0.02%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2020-EXP3, Class 2A1                                           | CUSIP: 67448WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378078 | PA      | $376110.63    | 0.00%             | 2060-01-25      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2901, Class S                                               | CUSIP: 31395KSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264082 | PA      | $269915.78    | 0.00%             | 2034-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3351, Class ZC                                              | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    838613 | PA      | $857878.60    | 0.01%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622AAXK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7050265 | PA      | $6713567.26   | 0.06%             | 2040-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                               | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  17180000 | PA      | $17361087.68  | 0.16%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2001-50, Class BA                                | CUSIP: 31392AJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36678 | PA      | $37066.67     | 0.00%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class C                       | CUSIP: 22535PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8892000 | PA      | $9224987.62   | 0.08%             | 2034-04-17      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-34, Class TY                                                   | CUSIP: 38380VND9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    756611 | PA      | $675827.54    | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-128, Class KP                                           | CUSIP: 3136A2MX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29434 | PA      | $28880.38     | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5536, Class PA                                              | CUSIP: 3137HL5H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4959769 | PA      | $4897659.00   | 0.05%             | 2054-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-129, Class CZ                                           | CUSIP: 3136AHWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8952765 | PA      | $8457109.96   | 0.08%             | 2034-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 411, Class A3                                               | CUSIP: 31395QCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    888061 | PA      | $800316.84    | 0.01%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  13725000 | PA      | $13398767.87  | 0.12%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4286, Class MP                                              | CUSIP: 3137B6U82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296456 | PA      | $284639.14    | 0.00%             | 2043-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                            | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  12305000 | PA      | $12360211.06  | 0.11%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13977893 | PA      | $13063909.42  | 0.12%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3855, Class AM                                              | CUSIP: 3137AAZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    769805 | PA      | $788441.45    | 0.01%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-3, Class ZA                                             | CUSIP: 31395BGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5688932 | PA      | $5847530.16   | 0.05%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3569, Class NY                                              | CUSIP: 31398J3B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451240 | PA      | $460217.09    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52370 | PA      | $53513.54     | 0.00%             | 2037-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256034 | PA      | $261426.24    | 0.00%             | 2037-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5353, Class A                                               | CUSIP: 3137HAU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5454225 | PA      | $5590082.51   | 0.05%             | 2045-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QECX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415971 | PA      | $348054.66    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10297053 | PA      | $9782296.86   | 0.09%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4657, Class VZ                                              | CUSIP: 3137BVQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8297670 | PA      | $7282983.41   | 0.07%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409YEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97352 | PA      | $99378.71     | 0.00%             | 2036-10-01      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-126, Class JZ                                           | CUSIP: 3136AHQY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14710874 | PA      | $14335764.42  | 0.13%             | 2033-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                          | Toronto-Dominion Bank (The)                                                      | CUSIP: 89115A3E0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  21905000 | PA      | $22117559.55  | 0.20%             | 2028-01-31      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 369, Class 26                                               | CUSIP: 3136FCP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19968 | PA      | $3377.56      | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4247, Class AK                                              | CUSIP: 3137B4HD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149220 | PA      | $148610.34    | 0.00%             | 2042-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2024-HB13, Class A                                              | CUSIP: 12530VAA3<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   3172635 | PA      | $3111188.84   | 0.03%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| ABN AMRO Bank NV                                     | ABN AMRO Bank NV                                                                 | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   9191000 | PA      | $9185004.25   | 0.08%             | 2025-07-28      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3688, Class NB                                              | CUSIP: 3137A0MY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413110 | PA      | $412269.08    | 0.00%             | 2036-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7QA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54617 | PA      | $54837.72     | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-77, Class TF                                            | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87228 | PA      | $88016.46     | 0.00%             | 2032-12-18      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-18, Class BZ                                            | CUSIP: 3136ACWZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5690598 | PA      | $5491040.20   | 0.05%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K512, Class A2  | CUSIP: 3137HBCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $12256669.20  | 0.11%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-64, Class DT                                            | CUSIP: 31397UJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27997661 | PA      | $29243890.35  | 0.27%             | 2041-07-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                               | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13600000 | PA      | $13532461.04  | 0.12%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-18, Class SE                                            | CUSIP: 31396YWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72850 | PA      | $5637.23      | 0.00%             | 2038-03-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9UT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13478990 | PA      | $13682680.15  | 0.13%             | 2044-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2806, Class FA                                              | CUSIP: 31395AWD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160863 | PA      | $159681.45    | 0.00%             | 2034-02-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                | Octagon Investment Partners Ltd., Series 2018-18A, Class A1A                     | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1833520 | PA      | $1833442.54   | 0.02%             | 2031-04-16      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-32, Class DK                                            | CUSIP: 3136AKBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292406 | PA      | $281650.62    | 0.00%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H18, Class NA                                                  | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46999 | PA      | $47154.37     | 0.00%             | 2062-08-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                | Quanta Services, Inc.                                                            | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  12175000 | PA      | $12224951.47  | 0.11%             | 2027-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484411 | PA      | $406090.50    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4655, Class DJ                                              | CUSIP: 3137BVDL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1559358 | PA      | $1474308.88   | 0.01%             | 2040-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                                | Theorem Funding Trust, Series 2022-3A, Class A                                   | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436868 | PA      | $438016.43    | 0.00%             | 2029-04-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class B                       | CUSIP: 22535PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4103099.20   | 0.04%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4860620.15   | 0.04%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83070000 | PA      | $83829311.30  | 0.77%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540098 | PA      | $519846.73    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-80, Class CQ                                                   | CUSIP: 38379NHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143794 | PA      | $140714.14    | 0.00%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                           | US Bank NA, Series 2023-1, Class B                                               | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7024176 | PA      | $7107639.96   | 0.07%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                         | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2854427 | PA      | $2850893.98   | 0.03%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202FV52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7174 | PA      | $7136.99      | 0.00%             | 2026-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40112 | PA      | $41556.04     | 0.00%             | 2037-03-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LN3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3504585 | PA      | $3434549.51   | 0.03%             | 2028-08-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3459, Class MB                                              | CUSIP: 31397TTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61025 | PA      | $62233.15     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXJ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21266359 | PA      | $21775556.82  | 0.20%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AAFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3738264 | PA      | $3578915.14   | 0.03%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LBYX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4935018 | PA      | $4564738.98   | 0.04%             | 2028-04-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2021-1A, Class D                                     | CUSIP: 23344GAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    679164 | PA      | $678126.51    | 0.01%             | 2026-11-16      | Fixed         | 1.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-101, Class FD                                           | CUSIP: 31396LHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49082 | PA      | $48406.91     | 0.00%             | 2036-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607PHT4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  19135000 | PA      | $19105115.53  | 0.18%             | 2027-09-11      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  15235000 | PA      | $15255715.33  | 0.14%             | 2029-03-04      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3575, Class ZA                                              | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2504536 | PA      | $2553105.19   | 0.02%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-92, Class DE                                            | CUSIP: 3136AGFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $561882.54    | 0.01%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-96, Class FY                                            | CUSIP: 3136AGAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145115 | PA      | $142823.92    | 0.00%             | 2042-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140KA3X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    805468 | PA      | $764237.20    | 0.01%             | 2031-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-79, Class PT                                                   | CUSIP: 38384PFJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9032864 | PA      | $9171723.99   | 0.08%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-84, Class MB                                            | CUSIP: 31394FN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292693 | PA      | $299450.41    | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4698, Class DA                                              | CUSIP: 3137F1XE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1245504 | PA      | $1222492.88   | 0.01%             | 2045-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224000 | PA      | $1247339.44   | 0.01%             | 2028-08-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H01, Class FA                                                  | CUSIP: 38376RPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1771802 | PA      | $1778691.56   | 0.02%             | 2066-01-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128HDQ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        53 | PA      | $53.35        | 0.00%             | 2027-12-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                       | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9250000 | PA      | $9281694.20   | 0.09%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FBA4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  13540000 | PA      | $13726940.15  | 0.13%             | 2026-07-13      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-125, Class AG                                                  | CUSIP: 38382HMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    943888 | PA      | $909844.05    | 0.01%             | 2046-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QGJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39623 | PA      | $40227.11     | 0.00%             | 2036-08-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-6, Class B                   | CUSIP: 80287DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2540959.00   | 0.02%             | 2029-04-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPTQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11620454 | PA      | $10860351.16  | 0.10%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-57, Class ZE                                            | CUSIP: 31396WKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48400 | PA      | $48250.98     | 0.00%             | 2037-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  21600000 | PA      | $22072664.81  | 0.20%             | 2030-01-18      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-3A, Class B                     | CUSIP: 301989AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506822 | PA      | $507476.47    | 0.00%             | 2027-09-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-85, Class SH                                            | CUSIP: 31396XQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563584 | PA      | $18536.29     | 0.00%             | 2037-09-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-72, Class KB                                            | CUSIP: 3136A0NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29314 | PA      | $29130.88     | 0.00%             | 2026-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2021-3, Class C                               | CUSIP: 33846QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10693845 | PA      | $10593904.36  | 0.10%             | 2027-09-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | Goldman Sachs Bank USA                                                           | CUSIP: 38151LAG5<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |   7050000 | PA      | $7099503.48   | 0.07%             | 2027-05-21      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-109, Class M                                            | CUSIP: 31398NRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715746 | PA      | $693735.08    | 0.01%             | 2040-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2021-3A, Class D                   | CUSIP: 96043JAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6082722 | PA      | $6042496.38   | 0.06%             | 2027-01-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-58, Class FY                                            | CUSIP: 31398RXN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101429 | PA      | $101045.07    | 0.00%             | 2040-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                   | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5111247.50   | 0.05%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  23415000 | PA      | $23468916.78  | 0.22%             | 2026-09-29      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                 | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5310000 | PA      | $5288736.53   | 0.05%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-11, Class EA                                            | CUSIP: 3136B4BU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552706 | PA      | $518160.18    | 0.00%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class B                                  | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5165000 | PA      | $4962292.34   | 0.05%             | 2038-08-17      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QCV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433295 | PA      | $363238.04    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  10450000 | PA      | $10605613.35  | 0.10%             | 2031-01-24      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2332609 | PA      | $2338849.89   | 0.02%             | 2033-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2021-N4, Class C                          | CUSIP: 14687HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    818583 | PA      | $790262.28    | 0.01%             | 2028-09-11      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2023-2A, Class A2                          | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1732562 | PA      | $1760170.80   | 0.02%             | 2028-10-16      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2022-P2, Class B                          | CUSIP: 14686JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4175000 | PA      | $4201615.21   | 0.04%             | 2028-04-10      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5360000 | PA      | $5355550.77   | 0.05%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class B                           | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477654 | PA      | $450394.70    | 0.00%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-1, Class D                             | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3802011.34   | 0.03%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Columbia Cent CLO Ltd.                               | Columbia Cent CLO Ltd., Series 2021-31A, Class A1R                               | CUSIP: 19737LAS2<br>LEI: 5493007YZPNOMQEILE23 | Long             | ABS-CBDO         | CORP              | KY        |  29000000 | PA      | $28971203.00  | 0.27%             | 2034-04-20      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd.                                             | LCM Ltd., Series 36A, Class A1R                                                  | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24873000 | PA      | $24811389.58  | 0.23%             | 2034-01-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Ultra Note                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -854 | NC      | $-1181906.82  | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ARI Fleet Lease Trust                                | ARI Fleet Lease Trust, Series 2025-A, Class A3                                   | CUSIP: 04033CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5958204.00   | 0.05%             | 2034-01-17      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200370 | PA      | $196087.51    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473766 | PA      | $412824.49    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  17100000 | PA      | $17091247.37  | 0.16%             | 2026-06-09      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-5, Class DA                                             | CUSIP: 3136ABF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67170 | PA      | $65039.10     | 0.00%             | 2028-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2023-A, Class D                               | CUSIP: 12664LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2287985.40   | 0.02%             | 2029-04-16      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C                       | CUSIP: 224927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7192882.20   | 0.07%             | 2033-07-15      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class C                  | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8620502 | PA      | $8668933.31   | 0.08%             | 2032-06-15      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-107, Class PA                                                  | CUSIP: 38384BM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6041338 | PA      | $6093012.12   | 0.06%             | 2046-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-58, Class GL                                            | CUSIP: 31393DCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64101 | PA      | $62405.40     | 0.00%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356592 | PA      | $312666.45    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                      | Post Road Equipment Finance LLC, Series 2025-1A, Class A2                        | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7773000 | PA      | $7798021.29   | 0.07%             | 2031-05-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1880 | NC      | $-1838982.16  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Marble Point CLO XV Ltd.                             | Marble Point CLO Ltd., Series 2019-1A, Class A1R2                                | CUSIP: 56606YAW5<br>LEI: 549300CO8XB55W8SS394 | Long             | ABS-CBDO         | CORP              | KY        |  10241598 | PA      | $10229175.26  | 0.09%             | 2032-07-23      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410Q2C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374349 | PA      | $392290.63    | 0.00%             | 2036-03-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H29, Class FA                                                  | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1077 | PA      | $1077.89      | 0.00%             | 2065-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-84, Class JA                                            | CUSIP: 3136AYMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489651 | PA      | $431788.74    | 0.00%             | 2047-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4417, Class PZ                                              | CUSIP: 3137BFWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2984667 | PA      | $2670022.10   | 0.02%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-112, Class BA                                                  | CUSIP: 38384CV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4526263 | PA      | $4662670.24   | 0.04%             | 2062-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 31307L3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3928725 | PA      | $3837463.13   | 0.04%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399287 | PA      | $390049.71    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4461, Class LZ                                              | CUSIP: 3137BHKY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3686290 | PA      | $3249558.95   | 0.03%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class B                | CUSIP: 05377RHZ0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5887290.45   | 0.05%             | 2030-06-20      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-58, Class BA                                            | CUSIP: 3136BSWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14661515 | PA      | $14771643.65  | 0.14%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust LLC                              | SCF Equipment Trust LLC, Series 2025-1A, Class A2                                | CUSIP: 78437DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7506000 | PA      | $7514512.55   | 0.07%             | 2030-07-22      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3996, Class BA                                              | CUSIP: 3137ALSN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12279 | PA      | $12053.67     | 0.00%             | 2027-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-35, Class PE                                            | CUSIP: 31397SVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874934 | PA      | $837595.39    | 0.01%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4682, Class LC                                              | CUSIP: 3137BXZG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439238 | PA      | $377240.06    | 0.00%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                  | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                  | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3434303 | PA      | $3363971.44   | 0.03%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class A                           | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    348908 | PA      | $328448.52    | 0.00%             | 2035-08-27      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust, Series 2021-L6, Class A2                         | CUSIP: 61692CAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3675803 | PA      | $3455705.47   | 0.03%             | 2054-06-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  15380000 | PA      | $15570824.58  | 0.14%             | 2027-08-14      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4591, Class QE                                              | CUSIP: 3137BQQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174672 | PA      | $156663.31    | 0.00%             | 2046-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-25, Class QH                                                   | CUSIP: 38379T2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    878503 | PA      | $831998.38    | 0.01%             | 2044-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4039, Class PB                                              | CUSIP: 3137AQPV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150785 | PA      | $146917.52    | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EQ5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2094765 | PA      | $2057964.72   | 0.02%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-79, Class LA                                                   | CUSIP: 38379XNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138070 | PA      | $136160.60    | 0.00%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                                      | BofA Auto Trust, Series 2024-1A, Class A4                                        | CUSIP: 09709AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4260000 | PA      | $4327397.03   | 0.04%             | 2030-06-17      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Other                                                                   | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    642200 | PA      | $561460.16    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                      | Wingspire Equipment Finance LLC, Series 2024-1A, Class A2                        | CUSIP: 97415AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13400000 | PA      | $13383676.12  | 0.12%             | 2032-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-113, Class DC                                           | CUSIP: 3136A83J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82390 | PA      | $79412.15     | 0.00%             | 2042-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5075000 | PA      | $4967371.23   | 0.05%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-74, Class DY                                                   | CUSIP: 38382E5H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    823277 | PA      | $678987.74    | 0.01%             | 2050-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06418JAA9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  16400000 | PA      | $16602543.77  | 0.15%             | 2026-12-07      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31417MS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98937 | PA      | $98987.05     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3835000 | PA      | $3827734.48   | 0.04%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416VBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267639 | PA      | $1259784.46   | 0.01%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                     | First Investors Auto Owner Trust, Series 2023-1A, Class B                        | CUSIP: 320986AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5685000 | PA      | $5822333.68   | 0.05%             | 2029-12-17      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4571, Class EB                                              | CUSIP: 3137BNVM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1600789 | PA      | $1555293.40   | 0.01%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                         | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                           | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61 | PA      | $60.88        | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 289, Class 1                                                | CUSIP: 31364HQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22135 | PA      | $21363.52     | 0.00%             | 2027-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4029, Class LY                                              | CUSIP: 3137APFZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694697 | PA      | $685838.23    | 0.01%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2023-1A, Class C                                     | CUSIP: 23346KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13425000 | PA      | $13455041.12  | 0.12%             | 2028-10-16      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4714, Class PA                                              | CUSIP: 3137F2ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1408018 | PA      | $1308410.56   | 0.01%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-3, Class AB                                             | CUSIP: 3136B3G38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8817108 | PA      | $8423376.34   | 0.08%             | 2049-02-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7MJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45733 | PA      | $45809.88     | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3862, Class GA                                              | CUSIP: 3137AAPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132938 | PA      | $131006.45    | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-90, Class MA                                                   | CUSIP: 38379XQ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90449 | PA      | $89213.21     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-70, Class MB                                            | CUSIP: 3136B7KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $713336.90    | 0.01%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FAZ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  19910000 | PA      | $19955369.12  | 0.18%             | 2026-01-26      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-A, Class A4                                   | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4025230.80   | 0.04%             | 2029-01-22      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                               | WEC Energy Group, Inc.                                                           | CUSIP: 92939UAH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   5625000 | PA      | $5626552.73   | 0.05%             | 2025-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4631, Class PA                                              | CUSIP: 3137BSZU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1577087 | PA      | $1467250.54   | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class C             | CUSIP: 46644UBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $6955866.00   | 0.06%             | 2048-07-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X6G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392574 | PA      | $1337465.30   | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31413NGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255504 | PA      | $267645.33    | 0.00%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-89, Class AM                                                   | CUSIP: 38384N3Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19700536 | PA      | $19880071.42  | 0.18%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-64, Class ED                                                   | CUSIP: 38384MVF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6407714 | PA      | $6461152.63   | 0.06%             | 2064-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2024-2A, Class C                     | CUSIP: 30166DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15216000 | PA      | $15375203.49  | 0.14%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-49                                                      | CUSIP: 31393CY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129518 | PA      | $17795.74     | 0.00%             | 2033-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-84, Class DZ                                            | CUSIP: 31392FE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99897 | PA      | $102454.25    | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                        | Entergy Corp.                                                                    | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   2915000 | PA      | $2883276.46   | 0.03%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-53, Class FT                                            | CUSIP: 31397URA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82038 | PA      | $81362.36     | 0.00%             | 2041-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3597, Class HM                                              | CUSIP: 31398L7C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21903 | PA      | $21836.68     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A86M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1099300 | PA      | $1089590.39   | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42468 | PA      | $41761.83     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes               | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2224417 | PA      | $2140922.24   | 0.02%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-87, Class BA                                            | CUSIP: 3136B3RG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98797 | PA      | $94839.20     | 0.00%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class FY                                              | CUSIP: 3137AY3R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229752 | PA      | $227920.37    | 0.00%             | 2041-08-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8336591 | PA      | $8025732.31   | 0.07%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                          | Penske Truck Leasing Co. LP                                                      | CUSIP: 709599BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9600000 | PA      | $9431439.17   | 0.09%             | 2025-11-15      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-73, Class HJ                                            | CUSIP: 31396QB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81954 | PA      | $86029.91     | 0.00%             | 2039-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4682, Class AP                                              | CUSIP: 3137BXXY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    576186 | PA      | $505190.72    | 0.00%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR6, Class A                            | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7245556 | PA      | $7038898.95   | 0.06%             | 2038-07-17      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-25, Class DZ                                            | CUSIP: 31396YL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375217 | PA      | $372852.32    | 0.00%             | 2038-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4162, Class ZJ                                              | CUSIP: 3137AYJJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14319639 | PA      | $13720498.03  | 0.13%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPZD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5827990 | PA      | $5898011.40   | 0.05%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-80, Class AC                                                   | CUSIP: 38384BPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4705760 | PA      | $4792419.38   | 0.04%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  24645000 | PA      | $25382164.23  | 0.23%             | 2030-09-13      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128Q3Q95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437014 | PA      | $454077.60    | 0.00%             | 2035-03-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06418GAL1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  20120000 | PA      | $20049112.81  | 0.18%             | 2028-09-08      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                           | Upstart Pass-Through Trust, Series 2021-ST5, Class A                             | CUSIP: 91679XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107392 | PA      | $106248.14    | 0.00%             | 2027-07-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4255, Class LZ                                              | CUSIP: 3137B5H63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7157890 | PA      | $6860931.90   | 0.06%             | 2033-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-50, Class DA                                            | CUSIP: 3136BSPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5871523 | PA      | $5877034.94   | 0.05%             | 2051-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                     | NMEF Funding LLC, Series 2022-A, Class B                                         | CUSIP: 62920KAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    464311 | PA      | $463651.80    | 0.00%             | 2028-10-16      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-42, Class ND                                                   | CUSIP: 38378JES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67734 | PA      | $63208.57     | 0.00%             | 2042-11-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30302 | PA      | $30857.76     | 0.00%             | 2036-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-28, Class DE                                                   | CUSIP: 38378FWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171255 | PA      | $151886.23    | 0.00%             | 2042-12-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K507, Class A2  | CUSIP: 3137HAMS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2538979.75   | 0.02%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AEAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6624861 | PA      | $6400770.12   | 0.06%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140GXNK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061847 | PA      | $905360.68    | 0.01%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4338, Class GE                                              | CUSIP: 3137BB4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6903 | PA      | $6811.15      | 0.00%             | 2029-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                      | Stream Innovations Issuer Trust, Series 2024-2A, Class A                         | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3928527 | PA      | $3940127.13   | 0.04%             | 2045-02-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR8, Class B                            | CUSIP: 74333TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8655899.40   | 0.08%             | 2038-10-17      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-15, Class AC                                            | CUSIP: 31397NDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299850 | PA      | $301089.29    | 0.00%             | 2029-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3756 | PA      | $3762.25      | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H04, Class FL                                                  | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61063 | PA      | $61238.43     | 0.00%             | 2065-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-133, Class AP                                           | CUSIP: 3136AAWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2730811 | PA      | $2489360.61   | 0.02%             | 2042-03-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                      | Republic Finance Issuance Trust, Series 2021-A, Class A                          | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3988007 | PA      | $3958886.03   | 0.04%             | 2031-12-22      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1430841 | PA      | $1448158.58   | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XNT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3571438 | PA      | $3650330.14   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138ELTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276338 | PA      | $275449.07    | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-16, Class FC                                            | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10607 | PA      | $10596.17     | 0.00%             | 2037-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ELYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185126 | PA      | $183776.68    | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR3, Class A                                            | CUSIP: 00180UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11422000 | PA      | $10903923.21  | 0.10%             | 2038-10-17      | Fixed         | 1.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3904, Class HC                                              | CUSIP: 3137AE5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488927 | PA      | $466299.35    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class C            | CUSIP: 10805MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10360000 | PA      | $10527458.00  | 0.10%             | 2030-02-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                          | Ally Auto Receivables Trust, Series 2024-1, Class A3                             | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7491000 | PA      | $7531773.51   | 0.07%             | 2028-12-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H14, Class FD                                                  | CUSIP: 38376R5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211672 | PA      | $212390.45    | 0.00%             | 2067-06-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-43, Class JA                                                   | CUSIP: 38384KNH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29663134 | PA      | $29884438.36  | 0.27%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24320000 | PA      | $24454900.12  | 0.22%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ASB Bank Ltd.                                        | ASB Bank Ltd.                                                                    | CUSIP: 00216LAG8<br>LEI: 549300IBZWZL1KTPF918 | Long             | DBT              | CORP              | NZ        |  17260000 | PA      | $17415785.31  | 0.16%             | 2026-06-15      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR3, Class B                                            | CUSIP: 00180UAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7207000 | PA      | $6871207.13   | 0.06%             | 2038-10-17      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-96, Class EA                                            | CUSIP: 3136BTM59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13839711 | PA      | $13823582.65  | 0.13%             | 2053-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR2, Class B                                            | CUSIP: 00179VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15095555 | PA      | $14521655.21  | 0.13%             | 2038-08-17      | Fixed         | 1.78%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RCH3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  30415000 | PA      | $30552475.80  | 0.28%             | 2029-05-22      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 31337NHS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       682 | PA      | $677.95       | 0.00%             | 2027-01-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154239 | PA      | $157537.68    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-11, Class ZY                                            | CUSIP: 31397NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2495985 | PA      | $2504175.08   | 0.02%             | 2049-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 49 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2022-49A, Class AR               | CUSIP: 64135JAL6<br>LEI: 549300IN02DS1MN5HW62 | Long             | ABS-CBDO         | CORP              | KY        |  19596000 | PA      | $19590219.18  | 0.18%             | 2035-07-25      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K57, Class B                                   | CUSIP: 30295DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12794000 | PA      | $12624714.91  | 0.12%             | 2049-08-25      | Variable      | 3.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-98, Class QG                                            | CUSIP: 3136A8AS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39328 | PA      | $38994.07     | 0.00%             | 2032-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2006-26, Class S                                                    | CUSIP: 38374NEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2513820 | PA      | $52089.86     | 0.00%             | 2036-06-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-60, Class H                                             | CUSIP: 3136BSS63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9759860 | PA      | $9733337.26   | 0.09%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1703688 | PA      | $1708996.53   | 0.02%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H15, Class FA                                                  | CUSIP: 38375B4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135360 | PA      | $135980.69    | 0.00%             | 2063-06-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                     | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  20355000 | PA      | $20662096.29  | 0.19%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LHS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4997049 | PA      | $4902423.19   | 0.05%             | 2027-03-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31418MH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    966773 | PA      | $985165.30    | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14645000 | PA      | $14363766.35  | 0.13%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-27, Class HZ                                            | CUSIP: 31394CG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1090643 | PA      | $1105030.21   | 0.01%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                     | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705844 | PA      | $700064.99    | 0.01%             | 2046-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class C                                   | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6985500.20   | 0.06%             | 2033-02-08      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class B     | CUSIP: 61766RBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4140000 | PA      | $3868212.31   | 0.04%             | 2049-11-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4LU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7014 | PA      | $7165.60      | 0.00%             | 2037-04-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 31418EVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8629053 | PA      | $8843408.34   | 0.08%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2024-1A, Class A                                    | CUSIP: 96034KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6891647 | PA      | $6960719.76   | 0.06%             | 2038-01-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LKJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5873079 | PA      | $5694264.83   | 0.05%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418TCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114724 | PA      | $115251.82    | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56779 | PA      | $57593.22     | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-1, Class NF                                             | CUSIP: 31396PHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127523 | PA      | $126290.33    | 0.00%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128ME4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2374088 | PA      | $2305034.54   | 0.02%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-61, Class G                                             | CUSIP: 3136BQXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20678273 | PA      | $20772321.49  | 0.19%             | 2049-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-29, Class LA                                            | CUSIP: 31397NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705281 | PA      | $601297.97    | 0.01%             | 2039-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                    | BSPRT Issuer Ltd., Series 2021-FL7, Class B                                      | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7025000 | PA      | $6980637.13   | 0.06%             | 2038-12-15      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   8395000 | PA      | $8882822.70   | 0.08%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       421 | PA      | $428.06       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M65F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60313 | PA      | $60539.85     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                         | Bridge Trust, Series 2022-SFR1, Class B                                          | CUSIP: 10805VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10575000 | PA      | $10501387.43  | 0.10%             | 2037-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 539439AX7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  13210000 | PA      | $13597180.21  | 0.13%             | 2029-03-06      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2003-50, Class F                                                    | CUSIP: 38373QSE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26945 | PA      | $26858.92     | 0.00%             | 2033-05-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-2, Class C                             | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10137000 | PA      | $10081863.84  | 0.09%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372282 | PA      | $388529.28    | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  22135000 | PA      | $22488568.77  | 0.21%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCIII LLC                                       | VOLT XCIII LLC, Series 2021-NPL2, Class A1                                       | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750859 | PA      | $750016.55    | 0.01%             | 2051-02-27      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-10, Class AE                                            | CUSIP: 3136AVPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1602450 | PA      | $1519184.01   | 0.01%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4250, Class BZ                                              | CUSIP: 3137B4MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14416710 | PA      | $13889137.54  | 0.13%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Equify ABS LLC                                       | Equify ABS LLC, Series 2023-1A, Class A                                          | CUSIP: 29444YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1512590 | PA      | $1514533.54   | 0.01%             | 2031-09-15      | Fixed         | 7.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3906, Class B                                               | CUSIP: 3137AEJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2191206 | PA      | $2118678.14   | 0.02%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H08, Class FA                                                  | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142758 | PA      | $143021.78    | 0.00%             | 2063-03-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  14854000 | PA      | $15285687.25  | 0.14%             | 2027-04-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4014894 | PA      | $4075452.21   | 0.04%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1885 | PA      | $1873.70      | 0.00%             | 2037-08-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3002, Class BN                                              | CUSIP: 31395WLG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146737 | PA      | $146076.19    | 0.00%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-80, Class CP                                                   | CUSIP: 38379NHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199155 | PA      | $192891.53    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EM7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  19840000 | PA      | $19986227.55  | 0.18%             | 2028-11-19      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-81, Class BA                                            | CUSIP: 3136BTLL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8609902 | PA      | $8554397.01   | 0.08%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LK6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5256554 | PA      | $5098509.84   | 0.05%             | 2027-10-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-1A, Class D                   | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3574839.80   | 0.03%             | 2028-11-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-C, Class C                               | CUSIP: 12664DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4715335 | PA      | $4719179.14   | 0.04%             | 2030-04-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286725 | PA      | $240364.94    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D            | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6819069.38   | 0.06%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4311, Class ED                                              | CUSIP: 3137B7WL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4303 | PA      | $4282.90      | 0.00%             | 2043-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2021-SFR1, Class A                              | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1792198 | PA      | $1732824.40   | 0.02%             | 2038-07-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Japan Tobacco, Inc.                                  | Japan Tobacco, Inc.                                                              | CUSIP: 471105AC0<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |  25785000 | PA      | $26025117.40  | 0.24%             | 2028-05-15      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-1, Class C                             | CUSIP: 262102AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7016990.40   | 0.06%             | 2032-09-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P75W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562507 | PA      | $557620.31    | 0.01%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-114, Class JA                                           | CUSIP: 3136AGU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       282 | PA      | $279.58       | 0.00%             | 2035-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2021-3A, Class D                                     | CUSIP: 23344QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6178247 | PA      | $6070867.17   | 0.06%             | 2027-05-17      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38145GAM2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  28070000 | PA      | $28121765.01  | 0.26%             | 2026-08-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO Ltd.                                | TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2                                 | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |   3550235 | PA      | $3553604.11   | 0.03%             | 2032-10-13      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-126, Class LI                                           | CUSIP: 31398SAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112627 | PA      | $5134.01      | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1068 | PA      | $1088.77      | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-94                                                      | CUSIP: 3136BDWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363837 | PA      | $298758.02    | 0.00%             | 2048-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2003-102, Class PE                                                  | CUSIP: 38374ECZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    661682 | PA      | $660064.83    | 0.01%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                  | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |  15750000 | PA      | $15629186.48  | 0.14%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4342, Class CY                                              | CUSIP: 3137BAYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3268470 | PA      | $3085234.34   | 0.03%             | 2034-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                         | DNB Bank ASA                                                                     | CUSIP: 23329PAF7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  14945000 | PA      | $14784420.01  | 0.14%             | 2026-09-16      | Variable      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| DLLAA LLC                                            | DLLAA LLC, Series 2025-1A, Class A3                                              | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8087037.60   | 0.07%             | 2029-09-20      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Stonepeak ABS                                        | Stonepeak ABS, Series 2021-1A                                                    | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3324915 | PA      | $3177034.05   | 0.03%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2022-8, Class D                                              | CUSIP: 3136BLW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8558310 | PA      | $7952550.24   | 0.07%             | 2038-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A2            | CUSIP: 39154GAH9<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3595394.88   | 0.03%             | 2027-10-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-101, Class B                                            | CUSIP: 31394UVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585701 | PA      | $593358.70    | 0.01%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H24, Class AF                                                  | CUSIP: 38376RE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1165004 | PA      | $1169148.72   | 0.01%             | 2066-11-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust               | Consumer Portfolio Services Auto Trust, Series 2025-B, Class B                   | CUSIP: 12630SAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $7591544.24   | 0.07%             | 2029-11-15      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36296DHB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    781908 | PA      | $819256.37    | 0.01%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  16775000 | PA      | $16777180.75  | 0.15%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                      | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  10450000 | PA      | $10635662.85  | 0.10%             | 2029-02-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                              | Purewest ABS Issuer LLC, Series 2025-1, Class A1                                 | CUSIP: 74628AAA2<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |  19775902 | PA      | $19840648.00  | 0.18%             | 2040-04-05      | Fixed         | 5.68%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4483, Class CA                                              | CUSIP: 3137BJZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30014195 | PA      | $28691991.67  | 0.26%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A8ER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8096353 | PA      | $7860121.60   | 0.07%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QDUD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393533 | PA      | $329906.21    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-1, Class C                             | CUSIP: 26208WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7142000 | PA      | $7226273.46   | 0.07%             | 2031-11-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-14, Class DB                                            | CUSIP: 31395BEZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212976 | PA      | $219119.86    | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31371FGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $39.06        | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78017FZS5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  23060000 | PA      | $23041765.54  | 0.21%             | 2028-10-18      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13300000 | PA      | $14031070.28  | 0.13%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CHV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3685000 | PA      | $3689894.16   | 0.03%             | 2025-08-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  23220000 | PA      | $23214495.00  | 0.21%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2022-SFR1, Class C                                            | CUSIP: 00179WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5341342.05   | 0.05%             | 2039-03-17      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2025-AA, Class C                          | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2720000 | PA      | $2742083.68   | 0.03%             | 2038-05-20      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  29450000 | PA      | $29701579.86  | 0.27%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4152, Class LE                                              | CUSIP: 3137AXPB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1720054 | PA      | $1616117.60   | 0.01%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class A2                      | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5923333 | PA      | $5949755.45   | 0.05%             | 2030-03-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C                       | CUSIP: 224936AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5952000 | PA      | $6169830.70   | 0.06%             | 2033-12-15      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| VFI ABS LLC                                          | VFI ABS LLC, Series 2023-1A, Class A                                             | CUSIP: 92555QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1734113 | PA      | $1743632.01   | 0.02%             | 2029-03-26      | Fixed         | 7.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352300 | PA      | $361663.03    | 0.00%             | 2037-06-01      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2020-AA, Class A                                      | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399106 | PA      | $371820.92    | 0.00%             | 2046-07-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                       | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14025000 | PA      | $14185684.43  | 0.13%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3724, Class CM                                              | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213728 | PA      | $222503.93    | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83755 | PA      | $86652.39     | 0.00%             | 2036-12-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128JRW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94181 | PA      | $94084.09     | 0.00%             | 2037-08-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H15, Class FN                                                  | CUSIP: 38376R5Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83231 | PA      | $83543.29     | 0.00%             | 2067-07-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3881, Class AT                                              | CUSIP: 3137ABYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15841187 | PA      | $16504758.99  | 0.15%             | 2041-06-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CULE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91907 | PA      | $91650.68     | 0.00%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       267 | PA      | $271.65       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| New Economy Assets-Phase 1 Sponsor LLC               | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class A1                  | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1816000 | PA      | $1704258.61   | 0.02%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  11950000 | PA      | $11948230.56  | 0.11%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Identity Digital Ltd.                                | Identity Digital Ltd.                                                            | CUSIP: N/A<br>LEI: 5493005BN677T7KORE19       | Long             | DBT              | CORP              | IE        |  15000000 | PA      | $15000000.00  | 0.14%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3174, Class LF                                              | CUSIP: 31396TP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73488 | PA      | $72885.93     | 0.00%             | 2036-05-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2941, Class Z                                               | CUSIP: 31395PUN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1063776 | PA      | $1033103.44   | 0.01%             | 2035-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ADB0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  12355000 | PA      | $12432346.50  | 0.11%             | 2027-06-24      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2022-6A, Class D                     | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6964000 | PA      | $7206856.27   | 0.07%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106045 | PA      | $108631.97    | 0.00%             | 2037-11-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140E04C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3025907 | PA      | $2945582.63   | 0.03%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H14, Class GF                                                  | CUSIP: 38375UMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34983 | PA      | $35094.79     | 0.00%             | 2064-07-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                      | Sumitomo Mitsui Trust Bank Ltd.                                                  | CUSIP: 86563VBT5<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |  23220000 | PA      | $23215118.23  | 0.21%             | 2027-09-10      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H14, Class FA                                                  | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    536362 | PA      | $537921.42    | 0.00%             | 2066-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 359, Class 16                                               | CUSIP: 3136FCUH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49327 | PA      | $7479.00      | 0.00%             | 2035-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3966, Class VZ                                              | CUSIP: 3137AJXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553636 | PA      | $533477.03    | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                      | Republic Finance Issuance Trust, Series 2024-B, Class A                          | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14486000 | PA      | $14619317.56  | 0.13%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1415466 | PA      | $1233407.73   | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class B                | CUSIP: 05377RFB5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2959148.40   | 0.03%             | 2028-08-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2023-6A, Class C                | CUSIP: 05377RHJ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6474788.13   | 0.06%             | 2029-12-20      | Fixed         | 7.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-B2, Class ZA                                            | CUSIP: 31396V2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1247845 | PA      | $1294074.04   | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4131, Class BC                                              | CUSIP: 3137AVQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38343 | PA      | $37074.04     | 0.00%             | 2027-11-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AWT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75686 | PA      | $74227.24     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-18, Class BA                                            | CUSIP: 3136B4QD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6659509 | PA      | $6355877.92   | 0.06%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-109, Class BA                                           | CUSIP: 3136AGQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299353 | PA      | $293642.84    | 0.00%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9ST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19395977 | PA      | $19694781.54  | 0.18%             | 2044-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4170, Class QE                                              | CUSIP: 3137AYYL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9311 | PA      | $9260.36      | 0.00%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MDXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24777 | PA      | $24641.14     | 0.00%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                  | Macquarie Bank Ltd.                                                              | CUSIP: 55608PBT0<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |  16030000 | PA      | $16316349.98  | 0.15%             | 2027-07-02      | Fixed         | 5.27%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-75, Class SP                                                   | CUSIP: 38375DPX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523135 | PA      | $22914.60     | 0.00%             | 2038-08-20      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NYCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11688483 | PA      | $11638821.56  | 0.11%             | 2030-04-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3249, Class CL                                              | CUSIP: 31397EDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484853 | PA      | $476627.09    | 0.00%             | 2036-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                      | NYMT Loan Trust, Series 2021-SP1, Class A1                                       | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8250041 | PA      | $8209411.69   | 0.08%             | 2061-08-25      | Variable      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-42, Class PF                                            | CUSIP: 31395DUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112682 | PA      | $111808.69    | 0.00%             | 2036-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2024-1A, Class B                                    | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4977300 | PA      | $5026355.28   | 0.05%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Microchip Technology, Inc.                           | Microchip Technology, Inc.                                                       | CUSIP: 595017BA1<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   7850000 | PA      | $7838059.99   | 0.07%             | 2025-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2023-3A, Class A                | CUSIP: 05377RGU2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $14159042.80  | 0.13%             | 2028-02-22      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust           | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A              | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12886000 | PA      | $12993350.69  | 0.12%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H25, Class FD                                                  | CUSIP: 38376RJN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2996405 | PA      | $2999402.74   | 0.03%             | 2065-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138L9BQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7091130 | PA      | $6927116.45   | 0.06%             | 2027-02-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202FYD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161079 | PA      | $159412.26    | 0.00%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2015-K51, Class B                                   | CUSIP: 30293XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4972305.50   | 0.05%             | 2048-10-25      | Variable      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7345000 | PA      | $7454678.48   | 0.07%             | 2028-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Westlake Flooring Master Trust                       | Westlake Flooring Master Trust, Series 2024-1A, Class B                          | CUSIP: 96043GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10825000 | PA      | $10892327.17  | 0.10%             | 2028-02-15      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36179XSG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2444015 | PA      | $2521326.08   | 0.02%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                              | Verdant Receivables LLC, Series 2024-1A, Class A2                                | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4356112 | PA      | $4416311.50   | 0.04%             | 2031-12-12      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-68, Class HQ                                            | CUSIP: 3136AXM51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952185 | PA      | $895102.95    | 0.01%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ENZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8158595 | PA      | $7883322.76   | 0.07%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR2, Class C                                            | CUSIP: 00179VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1921267.20   | 0.02%             | 2038-08-17      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                                | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  16754000 | PA      | $16889604.53  | 0.16%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71423 | PA      | $72981.98     | 0.00%             | 2037-10-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2362, Class F                                               | CUSIP: 313399W60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       905 | PA      | $905.23       | 0.00%             | 2031-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  23760000 | PA      | $24199001.88  | 0.22%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14105000 | PA      | $14077580.44  | 0.13%             | 2026-06-19      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2413717 | PA      | $2237627.95   | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR8, Class E1                           | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4489230.44   | 0.04%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                               | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101051 | PA      | $101064.23    | 0.00%             | 2037-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                   | BMW US Capital LLC                                                               | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $25165077.75  | 0.23%             | 2028-03-21      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36631 | PA      | $37203.06     | 0.00%             | 2037-11-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A3                         | CUSIP: 69392BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3499830.60   | 0.03%             | 2031-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class C            | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6790143.60   | 0.06%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-38, Class AO                                            | CUSIP: 31393YBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1334094 | PA      | $1034402.09   | 0.01%             | 2034-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-1, Class C             | CUSIP: 02530UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4528768 | PA      | $4534242.16   | 0.04%             | 2029-04-12      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2004-39, Class IN                                                   | CUSIP: 38374GUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25210 | PA      | $340.38       | 0.00%             | 2033-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                   | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                     | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7899547 | PA      | $8066112.38   | 0.07%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13460000 | PA      | $13911154.70  | 0.13%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2024-AA, Class A                          | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13441000 | PA      | $13542471.49  | 0.12%             | 2036-09-22      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3022058 | PA      | $3020265.73   | 0.03%             | 2040-02-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-H04, Class FG                                                  | CUSIP: 38380VPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154774 | PA      | $154894.61    | 0.00%             | 2068-02-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UBS AG                                               | UBS AG                                                                           | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |  31565000 | PA      | $33924343.60  | 0.31%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EQNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534079 | PA      | $486315.18    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-24, Class AD                                                   | CUSIP: 38384JY73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12663844 | PA      | $12700886.90  | 0.12%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-18, Class DA                                            | CUSIP: 3136AVQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557777 | PA      | $544519.11    | 0.01%             | 2045-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3947, Class BH                                              | CUSIP: 3137AGCC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2575091 | PA      | $2301828.29   | 0.02%             | 2041-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  51100000 | PA      | $51926351.90  | 0.48%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class B                       | CUSIP: 37989BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5027901.00   | 0.05%             | 2029-10-15      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P8B75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2047069 | PA      | $1982137.97   | 0.02%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                        | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4235000 | PA      | $4279640.42   | 0.04%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-13, Class CG                                            | CUSIP: 3136B4GM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2286035 | PA      | $2263119.61   | 0.02%             | 2049-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-101, Class FC                                           | CUSIP: 31396LHW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76831 | PA      | $75838.72     | 0.00%             | 2036-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                   | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4825071.70   | 0.04%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class B                | CUSIP: 82650TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394967 | PA      | $391564.10    | 0.00%             | 2040-06-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                              | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4057000 | PA      | $4098641.05   | 0.04%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-52, Class GB                                            | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65230 | PA      | $66097.75     | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                          | Toronto-Dominion Bank (The)                                                      | CUSIP: 89115KAD2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  27260000 | PA      | $27277883.92  | 0.25%             | 2028-06-02      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class B            | CUSIP: 108056AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1546000 | PA      | $1562591.67   | 0.01%             | 2029-08-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2024-2A, Class B                     | CUSIP: 30166DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1918780 | PA      | $1922945.80   | 0.02%             | 2028-04-17      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-34, Class FA                                            | CUSIP: 31392CM92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30736 | PA      | $30716.83     | 0.00%             | 2032-05-18      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2022-3, Class D             | CUSIP: 02528GAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2451315 | PA      | $2457852.08   | 0.02%             | 2028-10-13      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3204, Class ZM                                              | CUSIP: 31397AL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331150 | PA      | $336603.60    | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1883280 | PA      | $1823829.73   | 0.02%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  22140000 | PA      | $21867448.19  | 0.20%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-34, Class PC                                            | CUSIP: 3136ADQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354191 | PA      | $336971.99    | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class A2                 | CUSIP: 95001ABA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1452040 | PA      | $1396738.80   | 0.01%             | 2050-11-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                            | Driven Brands Funding LLC, Series 2019-1A, Class A2                              | CUSIP: 26208LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1120574 | PA      | $1112372.61   | 0.01%             | 2049-04-20      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140W1BY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3194004 | PA      | $3249184.27   | 0.03%             | 2045-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XCJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1968871 | PA      | $1871482.50   | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-63, Class A7                                            | CUSIP: 31393DSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022119 | PA      | $1037731.91   | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4039, Class AB                                              | CUSIP: 3137AQME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37282 | PA      | $36371.44     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Roc Mortgage Trust                                   | Roc Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080000 | PA      | $3071419.12   | 0.03%             | 2040-02-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H09, Class FA                                                  | CUSIP: 38375UWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195889 | PA      | $196016.62    | 0.00%             | 2065-04-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2021-SFR1, Class B                              | CUSIP: 89614YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $3969367.44   | 0.04%             | 2038-07-17      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-5, Class C                   | CUSIP: 802920AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249000 | PA      | $2242833.92   | 0.02%             | 2031-01-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2020-SFR1, Class C                                  | CUSIP: 33767MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2307000 | PA      | $2282345.78   | 0.02%             | 2037-08-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                           | CSMC Mortgage-Backed Trust, Series 2007-5, Class 5A5                             | CUSIP: 22944BDC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172767 | PA      | $1.73         | 0.00%             | 2037-04-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-63, Class LB                                            | CUSIP: 31397UQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2137546 | PA      | $2063681.43   | 0.02%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2001-38, Class EA                                            | CUSIP: 313920QL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5132 | PA      | $5001.47      | 0.00%             | 2031-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class B                | CUSIP: 826525AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382708 | PA      | $380147.08    | 0.00%             | 2037-07-20      | Fixed         | 2.32%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2025-1A, Class A                                | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12885959 | PA      | $12905606.22  | 0.12%             | 2050-04-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class X1  | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 101916310 | PA      | $1433952.28   | 0.01%             | 2027-09-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                      | Republic Finance Issuance Trust, Series 2021-A, Class B                          | CUSIP: 76042UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2926380.90   | 0.03%             | 2031-12-22      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 31418C5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6200179 | PA      | $6065814.22   | 0.06%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-71, Class NA                                                   | CUSIP: 38378TAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30912 | PA      | $29867.18     | 0.00%             | 2041-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132J2KY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1070097 | PA      | $1027133.75   | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-24, Class PF                                            | CUSIP: 31397LAH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3725 | PA      | $3725.03      | 0.00%             | 2038-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5407, Class PA                                              | CUSIP: 3137HCM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9295255 | PA      | $9310938.96   | 0.09%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CHL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  79595000 | PA      | $79605882.23  | 0.73%             | 2025-06-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                          | Merchants Fleet Funding LLC, Series 2024-1A, Class A                             | CUSIP: 588926AF2<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |  21656945 | PA      | $21790115.49  | 0.20%             | 2037-04-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                       | VStrong Auto Receivables Trust, Series 2023-A, Class A3                          | CUSIP: 92920CAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5102786 | PA      | $5117545.97   | 0.05%             | 2027-11-15      | Fixed         | 6.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-127, Class AC                                           | CUSIP: 3136A9C89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128209 | PA      | $124723.76    | 0.00%             | 2027-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418AMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365117 | PA      | $347476.66    | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44561 | PA      | $45131.20     | 0.00%             | 2037-11-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-100, Class PL                                           | CUSIP: 3136AGVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490532 | PA      | $489145.54    | 0.00%             | 2043-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-64, Class PG                                            | CUSIP: 31392ER28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882882 | PA      | $904104.29    | 0.01%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-3A, Class C                   | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6474496.00   | 0.06%             | 2028-09-15      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class B                  | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3536616 | PA      | $3558708.58   | 0.03%             | 2032-06-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3258, Class PM                                              | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188073 | PA      | $193083.66    | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3326, Class FG                                              | CUSIP: 31397JHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350833 | PA      | $345832.33    | 0.00%             | 2037-06-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust     | World Omni Automobile Lease Securitization Trust, Series 2025-A, Class A3        | CUSIP: 98164PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8050000 | PA      | $8035633.17   | 0.07%             | 2028-04-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-2, Class B             | CUSIP: 02531BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5330000 | PA      | $5348708.83   | 0.05%             | 2027-12-13      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                 | Progress Residential, Series 2021-SFR3, Class B                                  | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16067000 | PA      | $15719724.65  | 0.14%             | 2026-05-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                  | Constellation Energy Generation LLC                                              | CUSIP: 210385AB6<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |  10415000 | PA      | $10737746.16  | 0.10%             | 2028-03-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XDQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2266945 | PA      | $2220678.00   | 0.02%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4360, Class PZ                                              | CUSIP: 3137BCHQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984240 | PA      | $877775.77    | 0.01%             | 2044-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 6A1         | CUSIP: 22541SX29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66787 | PA      | $46377.48     | 0.00%             | 2019-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622ACB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2375225 | PA      | $2430446.51   | 0.02%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2024-3A, Class C                   | CUSIP: 96043CAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6792934.80   | 0.06%             | 2029-11-15      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-74, Class AT                                                   | CUSIP: 38381VV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400200 | PA      | $366325.80    | 0.00%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A3                 | CUSIP: 44935DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12042139.20  | 0.11%             | 2028-04-17      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-7, Class DZ                                             | CUSIP: 3136B8LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647827 | PA      | $540520.31    | 0.00%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR1, Class B                                            | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8230000 | PA      | $7603302.78   | 0.07%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5038000 | PA      | $5215609.40   | 0.05%             | 2028-08-11      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138EKZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56233 | PA      | $55805.82     | 0.00%             | 2027-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-1A, Class A2                         | CUSIP: 69433BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10758723 | PA      | $10828166.05  | 0.10%             | 2027-06-21      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K734, Class B                                  | CUSIP: 302977AS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3361919.32   | 0.03%             | 2051-02-25      | Variable      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 17                                               | CUSIP: 3136FAB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80868 | PA      | $9755.15      | 0.00%             | 2033-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LDTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9811051.40   | 0.09%             | 2026-05-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4302, Class MA                                              | CUSIP: 3137B8ET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534382 | PA      | $525268.83    | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3003, Class LD                                              | CUSIP: 31395W4L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71796 | PA      | $72977.85     | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class A3           | CUSIP: 107933AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2266952 | PA      | $2270522.54   | 0.02%             | 2028-01-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class B                   | CUSIP: 80288DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3900000 | PA      | $3920218.38   | 0.04%             | 2031-03-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR2, Class B                                  | CUSIP: 33767PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $9368760.35   | 0.09%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5427, Class DA                                              | CUSIP: 3137HDQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34700837 | PA      | $35002047.29  | 0.32%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-1A, Class B                       | CUSIP: 36267FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3473557.98   | 0.03%             | 2029-03-15      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  22355000 | PA      | $22570594.75  | 0.21%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MRZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380852 | PA      | $371173.42    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H11, Class FA                                                  | CUSIP: 38375BY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60025 | PA      | $60212.32     | 0.00%             | 2063-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H05, Class FT                                                  | CUSIP: 38380LSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489738 | PA      | $490703.06    | 0.00%             | 2069-04-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XKQA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8953615 | PA      | $8995518.54   | 0.08%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152275 | PA      | $154904.16    | 0.00%             | 2036-12-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607PH98<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  19485000 | PA      | $19588513.87  | 0.18%             | 2029-03-30      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-59, Class NZ                                            | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481205 | PA      | $492368.85    | 0.00%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A                | CUSIP: 05377RER1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  11899000 | PA      | $11388914.86  | 0.10%             | 2028-02-20      | Fixed         | 1.66%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  17775000 | PA      | $18349139.08  | 0.17%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-70, Class FA                                            | CUSIP: 31396QYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55778 | PA      | $56104.70     | 0.00%             | 2039-09-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138AW4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10350 | PA      | $10222.97     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                   | Regional Management Issuance Trust, Series 2021-1, Class A                       | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1158255 | PA      | $1153034.28   | 0.01%             | 2031-03-17      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO XV                              | Neuberger Berman CLO, Series 2013-15A, Class A1R2                                | CUSIP: 64129KBE6<br>LEI: 549300UTI4Y2IA4RUP16 | Long             | ABS-CBDO         | CORP              | KY        |   6378689 | PA      | $6381023.38   | 0.06%             | 2029-10-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3863, Class ZA                                              | CUSIP: 3137AAYH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8925061 | PA      | $9163084.96   | 0.08%             | 2034-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H11, Class FB                                                  | CUSIP: 38375BLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56788 | PA      | $57052.45     | 0.00%             | 2061-04-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2024-A, Class A3                                  | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16104000 | PA      | $16153395.80  | 0.15%             | 2027-06-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5401, Class VD                                              | CUSIP: 3137HC7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15640966 | PA      | $16057297.35  | 0.15%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                       | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1386072.14   | 0.01%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  20930000 | PA      | $21707795.43  | 0.20%             | 2028-10-18      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                                | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2770000 | PA      | $2801813.26   | 0.03%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  12000000 | PA      | $12210646.20  | 0.11%             | 2029-06-12      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-29, Class LC                                                   | CUSIP: 38380VEH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38350 | PA      | $37896.75     | 0.00%             | 2044-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2023-1, Class A                             | CUSIP: 924933AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495764 | PA      | $496679.80    | 0.00%             | 2028-11-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-15, Class EA                                            | CUSIP: 3136B8U49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564118 | PA      | $475304.33    | 0.00%             | 2049-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-132, Class GJ                                                  | CUSIP: 38377YJC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26558 | PA      | $26504.84     | 0.00%             | 2026-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JAXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784501 | PA      | $689388.47    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A2                         | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8926549 | PA      | $8921806.00   | 0.08%             | 2027-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4301, Class UL                                              | CUSIP: 3137B8CE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6412685 | PA      | $6230170.58   | 0.06%             | 2034-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4141, Class BI                                              | CUSIP: 3137AWZ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    912914 | PA      | $18896.04     | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5296, Class CA                                              | CUSIP: 3137H9SD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9256722 | PA      | $9352682.69   | 0.09%             | 2042-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class B                                                 | CUSIP: 30322DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4960000 | PA      | $4744664.08   | 0.04%             | 2038-09-17      | Fixed         | 1.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5334, Class GA                                              | CUSIP: 3137HAHU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17184382 | PA      | $17432240.69  | 0.16%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735068 | PA      | $762749.62    | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-103, Class BT                                           | CUSIP: 31394ULN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155248 | PA      | $154588.82    | 0.00%             | 2035-07-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 302, Class 350                                             | CUSIP: 31283AM31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57716 | PA      | $57085.67     | 0.00%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4774, Class LP                                              | CUSIP: 3137F4VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2044240 | PA      | $1986275.10   | 0.02%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2024-A, Class B                                   | CUSIP: 227927AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3945000 | PA      | $3998699.73   | 0.04%             | 2030-08-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H10, Class FK                                                  | CUSIP: 38376RAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4992067 | PA      | $4994883.73   | 0.05%             | 2065-04-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class C            | CUSIP: 10806EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6440000 | PA      | $6416287.28   | 0.06%             | 2030-08-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust          | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1             | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52492 | PA      | $52107.36     | 0.00%             | 2034-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-9, Class ZA                                             | CUSIP: 3136B33B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5794447 | PA      | $5193357.00   | 0.05%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-2, Class GA                                             | CUSIP: 3136ARBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1311577 | PA      | $1238052.47   | 0.01%             | 2046-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                           | PRM5 Trust, Series 2025-PRM5, Class A                                            | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4655000 | PA      | $4609503.43   | 0.04%             | 2033-03-10      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Nordea Bank Abp                                      | Nordea Bank Abp                                                                  | CUSIP: 65558RAC3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |  19165000 | PA      | $19170352.02  | 0.18%             | 2025-09-22      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2024-A, Class A4                 | CUSIP: 448988AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5024895.50   | 0.05%             | 2028-02-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C                       | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15450000 | PA      | $15906681.92  | 0.15%             | 2034-07-17      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                   | F&G Global Funding                                                               | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  11240000 | PA      | $10883130.22  | 0.10%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, 30 Year                                                                    | CUSIP: 31405WJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25158 | PA      | $25252.94     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   9670000 | PA      | $9468614.42   | 0.09%             | 2027-01-13      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                                | Theorem Funding Trust, Series 2022-2A, Class A                                   | CUSIP: 88339FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490327 | PA      | $490719.98    | 0.00%             | 2028-12-15      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4361, Class CA                                              | CUSIP: 3137BC3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112453 | PA      | $110504.31    | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114909 | PA      | $117973.14    | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2024-SFR2, Class A                              | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11382046 | PA      | $11334159.71  | 0.10%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36202KWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       963 | PA      | $961.87       | 0.00%             | 2025-11-20      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-5A, Class D                     | CUSIP: 30168DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3425765.31   | 0.03%             | 2030-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 369, Class 19                                               | CUSIP: 3136FCN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28064 | PA      | $4830.67      | 0.00%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-58, Class BA                                                   | CUSIP: 38383XTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3060087 | PA      | $3056390.64   | 0.03%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-72, Class F                                             | CUSIP: 31394AB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42280 | PA      | $42147.52     | 0.00%             | 2034-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-117, Class MF                                           | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191540 | PA      | $190044.24    | 0.00%             | 2038-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2020-SFR5, Class A                                            | CUSIP: 03217JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5221151 | PA      | $5141549.06   | 0.05%             | 2037-11-17      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                                     | NMEF Funding LLC, Series 2023-A, Class A2                                        | CUSIP: 62890QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4405908 | PA      | $4435013.63   | 0.04%             | 2030-06-17      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                   | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16625000 | PA      | $16760947.61  | 0.15%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                            | CFIN 2022-RTL1 Issuer LLC, Class A                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3665000 | PA      | $3665000.00   | 0.03%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394967 | PA      | $396080.54    | 0.00%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2989, Class MU                                              | CUSIP: 31395VFH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    572906 | PA      | $35433.12     | 0.00%             | 2034-07-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                     | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5032266.00   | 0.05%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2025-1A, Class A2                         | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17740000 | PA      | $17764653.28  | 0.16%             | 2028-10-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12859204 | PA      | $13183983.14  | 0.12%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C            | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6950000 | PA      | $7127528.72   | 0.07%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2059000 | PA      | $1994409.44   | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-61, Class ZA                                            | CUSIP: 31397UXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628590 | PA      | $638140.03    | 0.01%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-9, Class B                                              | CUSIP: 3136AVWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1693308 | PA      | $1607546.20   | 0.01%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-3, Class C                   | CUSIP: 80285UAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12595000 | PA      | $12572117.40  | 0.12%             | 2029-08-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2023-2A, Class A1R                       | CUSIP: 69703FAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12167299 | PA      | $12155436.32  | 0.11%             | 2032-01-25      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294734 | PA      | $247078.11    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-112, Class DA                                           | CUSIP: 3136A84G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1536036 | PA      | $1395320.18   | 0.01%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2023-AA, Class A                          | CUSIP: 56847FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14800000 | PA      | $14892921.80  | 0.14%             | 2035-10-22      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5433, Class B                                               | CUSIP: 3137HDP38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9387905 | PA      | $9436247.20   | 0.09%             | 2051-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A7US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8590478 | PA      | $8409739.48   | 0.08%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class C                       | CUSIP: 37988XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    973000 | PA      | $989890.31    | 0.01%             | 2030-03-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-31, Class UY                                            | CUSIP: 3136ANNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3559293 | PA      | $3370081.85   | 0.03%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       453 | PA      | $448.28       | 0.00%             | 2027-07-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142944 | PA      | $147826.70    | 0.00%             | 2036-03-01      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2021-C, Class A                                   | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11818907 | PA      | $11523844.90  | 0.11%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR4, Class B                                            | CUSIP: 66982FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7224396.00   | 0.07%             | 2038-12-17      | Fixed         | 2.42%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp., Series FIX                                                | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14935000 | PA      | $15081284.59  | 0.14%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| VOLT CIII LLC                                        | VOLT CIII LLC, Series 2021-CF1, Class A1                                         | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7238900 | PA      | $7235069.47   | 0.07%             | 2051-08-25      | Variable      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class C             | CUSIP: 46644YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2200009.90   | 0.02%             | 2048-08-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K54, Class B                                   | CUSIP: 30288RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1485129.00   | 0.01%             | 2048-04-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MQZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130269 | PA      | $127967.76    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128711 | PA      | $130788.83    | 0.00%             | 2037-02-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 277, Class 30                                              | CUSIP: 3128HX4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2119213 | PA      | $1894238.28   | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K506, Class A1  | CUSIP: 3137HAMG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1169770 | PA      | $1179480.33   | 0.01%             | 2028-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class A                       | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9381000 | PA      | $9390745.92   | 0.09%             | 2034-09-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                          | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431876 | PA      | $431605.68    | 0.00%             | 2038-04-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                 | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6579000 | PA      | $6581180.94   | 0.06%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4759, Class MA                                              | CUSIP: 3137FDJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38171 | PA      | $37420.46     | 0.00%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132HWAS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410231 | PA      | $393053.89    | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36225CBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       121 | PA      | $120.86       | 0.00%             | 2027-03-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  22610000 | PA      | $23020716.75  | 0.21%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409X7L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59228 | PA      | $59932.90     | 0.00%             | 2036-07-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3719, Class PJ                                              | CUSIP: 3137A1XE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8835126 | PA      | $8783832.73   | 0.08%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-101, Class AR                                           | CUSIP: 31394BE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4179 | PA      | $4182.59      | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                       | Wheels Fleet Lease Funding LLC, Series 2024-1A, Class A1                         | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |  10801865 | PA      | $10897118.70  | 0.10%             | 2039-02-18      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 31307M4Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157298 | PA      | $153603.97    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                          | Cherry Securitization Trust, Series 2024-1A, Class A                             | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12115000 | PA      | $12193037.56  | 0.11%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-23, Class CZ                                            | CUSIP: 3136AJ4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7110756 | PA      | $6925470.05   | 0.06%             | 2034-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2021-3, Class D                   | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    752280 | PA      | $747604.76    | 0.01%             | 2027-09-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2024-2A, Class A                                  | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8625000 | PA      | $8545737.98   | 0.08%             | 2034-02-21      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-43, Class AB                                                   | CUSIP: 38383XAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8486782 | PA      | $8586060.33   | 0.08%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-89, Class KE                                            | CUSIP: 3136AQZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40285 | PA      | $38550.89     | 0.00%             | 2031-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-49, Class GA                                            | CUSIP: 3136BAF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2100520 | PA      | $1701020.20   | 0.02%             | 2049-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                     | CUSIP: 12803RAA2<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  41073000 | PA      | $42468574.70  | 0.39%             | 2029-01-18      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5397, Class CA                                              | CUSIP: 3137HCEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10820546 | PA      | $10761420.41  | 0.10%             | 2052-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4318, Class KZ                                              | CUSIP: 3137B9CG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1976194 | PA      | $1912999.90   | 0.02%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2617, Class Z                                               | CUSIP: 31393RCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2194335 | PA      | $2253463.97   | 0.02%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal                                                                 | CUSIP: 06368LC53<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  10410000 | PA      | $10530515.42  | 0.10%             | 2026-12-11      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                      | CoreVest American Finance Trust, Series 2020-4, Class A                          | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1492198 | PA      | $1472040.96   | 0.01%             | 2052-12-15      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| Nissan Auto Lease Trust                              | Nissan Auto Lease Trust, Series 2024-A, Class A3                                 | CUSIP: 65481CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5714000 | PA      | $5731691.12   | 0.05%             | 2027-04-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410GL76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23414 | PA      | $23973.68     | 0.00%             | 2037-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418BD45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12675015 | PA      | $12523518.33  | 0.12%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P3, Class A3                         | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3077243 | PA      | $3097290.54   | 0.03%             | 2028-08-10      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                 | Progress Residential, Series 2021-SFR4, Class B                                  | CUSIP: 74333EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8800000 | PA      | $8595404.40   | 0.08%             | 2038-05-17      | Fixed         | 1.81%                 | Yes           |                  2 | On Loan: No      |
| Upgrade Receivables Trust                            | Upgrade Receivables Trust, Series 2024-1A, Class A                               | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500239 | PA      | $4502671.94   | 0.04%             | 2031-02-18      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  18395000 | PA      | $18033909.28  | 0.17%             | 2029-09-26      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H07, Class FA                                                  | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436221 | PA      | $438018.63    | 0.00%             | 2061-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-A, Class D                               | CUSIP: 12659WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4125404 | PA      | $4081170.52   | 0.04%             | 2029-04-16      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class A2                 | CUSIP: 80290CCH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2122593 | PA      | $2149881.82   | 0.02%             | 2032-06-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2021-B, Class B                                   | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2460648 | PA      | $2397701.25   | 0.02%             | 2031-05-08      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M6T57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60000 | PA      | $64094.59     | 0.00%             | 2038-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418CRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494393 | PA      | $421531.99    | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2021-A, Class A                                       | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1043524 | PA      | $956171.10    | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607LNG4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  17230000 | PA      | $17510232.17  | 0.16%             | 2028-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4120, Class KA                                              | CUSIP: 3137AVDX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272204 | PA      | $257339.73    | 0.00%             | 2032-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2025-1, Class A                             | CUSIP: 92511BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4825000 | PA      | $4828155.07   | 0.04%             | 2028-09-15      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                  | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |  12035000 | PA      | $12106721.38  | 0.11%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423598 | PA      | $430940.74    | 0.00%             | 2037-08-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-147, Class NE                                           | CUSIP: 3136ABDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884262 | PA      | $845929.83    | 0.01%             | 2041-08-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4207, Class JD                                              | CUSIP: 3137B22F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43039 | PA      | $41733.51     | 0.00%             | 2028-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LDYK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9001420 | PA      | $8805108.93   | 0.08%             | 2026-07-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   8594000 | PA      | $8638778.95   | 0.08%             | 2027-01-12      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-66, Class MB                                            | CUSIP: 3136AFVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1644462 | PA      | $1486464.25   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3946, Class BU                                              | CUSIP: 3137AGHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19287 | PA      | $19118.58     | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4020, Class N                                               | CUSIP: 3137AML47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12760 | PA      | $12599.49     | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-2, Class B                   | CUSIP: 80287NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8840000 | PA      | $8903202.46   | 0.08%             | 2031-05-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                       | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6293401.25   | 0.06%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H12, Class FD                                                  | CUSIP: 38376RBP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    615311 | PA      | $615520.42    | 0.01%             | 2065-05-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-3A, Class B                   | CUSIP: 96041CAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $11066403.70  | 0.10%             | 2028-09-15      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 5 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -6057 | NC      | $-3890135.17  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JCAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2298545 | PA      | $2263831.88   | 0.02%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXT77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10990082 | PA      | $11133968.53  | 0.10%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5501, Class EA                                              | CUSIP: 3137HJQE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22271254 | PA      | $22592378.59  | 0.21%             | 2049-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418B3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12827365 | PA      | $12070634.95  | 0.11%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                 | Progress Residential, Series 2021-SFR3, Class E1                                 | CUSIP: 74333VAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1764183.96   | 0.02%             | 2026-05-17      | Fixed         | 2.54%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2021-AA, Class A                          | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15923000 | PA      | $15355032.96  | 0.14%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-41, Class GA                                            | CUSIP: 3136BSPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5089060 | PA      | $5110269.60   | 0.05%             | 2048-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                              | Verdant Receivables LLC, Series 2025-1A, Class A3                                | CUSIP: 92340GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11316617.78  | 0.10%             | 2033-05-12      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVII LLC                                       | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                       | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1739109 | PA      | $1736395.69   | 0.02%             | 2051-04-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10538961 | PA      | $10234440.16  | 0.09%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H16, Class FL                                                  | CUSIP: 38375UNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301387 | PA      | $302315.45    | 0.00%             | 2064-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-87, Class B                                             | CUSIP: 31398FH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688775 | PA      | $690043.11    | 0.01%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13178 | PA      | $13495.27     | 0.00%             | 2035-01-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4158, Class LD                                              | CUSIP: 3137AXUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372199 | PA      | $326322.78    | 0.00%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                        | Enel Finance International NV                                                    | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  11710000 | PA      | $11855179.17  | 0.11%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-70, Class HA                                            | CUSIP: 3136B3BD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423368 | PA      | $413171.76    | 0.00%             | 2056-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5271, Class AC                                              | CUSIP: 3137H9FW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2694180 | PA      | $2686089.38   | 0.02%             | 2047-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-27, Class BF                                            | CUSIP: 31395BZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66312 | PA      | $65687.27     | 0.00%             | 2036-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417Y3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59733 | PA      | $59311.58     | 0.00%             | 2031-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A3                         | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12545000 | PA      | $12503154.90  | 0.11%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2024-1A, Class C                       | CUSIP: 36269HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4925000 | PA      | $4975009.93   | 0.05%             | 2029-12-17      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4936, Class AP                                              | CUSIP: 3137FQHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193077 | PA      | $177519.99    | 0.00%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  28985000 | PA      | $29132623.79  | 0.27%             | 2028-04-23      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4425, Class TA                                              | CUSIP: 3137BG4W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288973 | PA      | $245722.05    | 0.00%             | 2045-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4215, Class NA                                              | CUSIP: 3137B34Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72517 | PA      | $70712.67     | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3960, Class PL                                              | CUSIP: 3137AJGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2803393 | PA      | $2729136.81   | 0.03%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293727 | PA      | $263048.41    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-107, Class ZD                                           | CUSIP: 31393T5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804667 | PA      | $834236.37    | 0.01%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                           | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2062005 | PA      | $2057552.37   | 0.02%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X1  | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63557730 | PA      | $504553.04    | 0.00%             | 2027-08-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-88, Class ER                                            | CUSIP: 3136AMCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36038 | PA      | $34783.14     | 0.00%             | 2036-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H09, Class FN                                                  | CUSIP: 38376RTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1270634 | PA      | $1275102.27   | 0.01%             | 2066-03-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A                       | CUSIP: 224927AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1739484 | PA      | $1748537.74   | 0.02%             | 2033-03-15      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| CarVal CLO I Ltd.                                    | CarVal CLO Ltd., Series 2018-1A, Class AR                                        | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15610105 | PA      | $15632927.10  | 0.14%             | 2031-07-16      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2017-K62, Class B                                   | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $5410013.95   | 0.05%             | 2050-01-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-10, Class PA                                            | CUSIP: 3136ACAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762847 | PA      | $653544.36    | 0.01%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bills                                                              | CUSIP: 912797PF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  21449000 | PA      | $21318039.48  | 0.20%             | 2025-07-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XKNV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5307266 | PA      | $5404558.15   | 0.05%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4749, Class ZL                                              | CUSIP: 3137FCWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14288368 | PA      | $12854981.73  | 0.12%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A3            | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   6616000 | PA      | $6605053.83   | 0.06%             | 2029-04-16      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                            | Commercial Mortgage Trust, Series 2015-CR26, Class B                             | CUSIP: 12593QBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1953706.20   | 0.02%             | 2048-10-10      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                          | Merchants Fleet Funding LLC, Series 2023-1A, Class A                             | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   7652814 | PA      | $7718969.06   | 0.07%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J9DL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8466510 | PA      | $8401442.85   | 0.08%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-75, Class AC                                                   | CUSIP: 38378J4L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308957 | PA      | $299110.83    | 0.00%             | 2028-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-65, Class PA                                            | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133100 | PA      | $120483.14    | 0.00%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-14, Class PA                                            | CUSIP: 3136A4WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108799 | PA      | $104027.15    | 0.00%             | 2041-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-139, Class PE                                                  | CUSIP: 38380HEP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3302884 | PA      | $2822519.43   | 0.03%             | 2047-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                            | FHF Trust, Series 2023-1A, Class A2                                              | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3793536 | PA      | $3826780.13   | 0.04%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3921 | PA      | $3949.19      | 0.00%             | 2037-07-01      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class A                       | CUSIP: 22536KAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16800000 | PA      | $16900116.24  | 0.16%             | 2035-03-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-86, Class PE                                            | CUSIP: 31398FSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1884701 | PA      | $1913334.42   | 0.02%             | 2039-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-15, Class EM                                            | CUSIP: 3136B8V63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508628 | PA      | $432941.97    | 0.00%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2025-1, Class B             | CUSIP: 02528DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10625000 | PA      | $10626930.56  | 0.10%             | 2029-03-12      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-69, Class L                                             | CUSIP: 3136AE4J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9970136 | PA      | $9535726.11   | 0.09%             | 2033-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7920000 | PA      | $8311169.99   | 0.08%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-4, Class D             | CUSIP: 024945AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2561000 | PA      | $2556762.06   | 0.02%             | 2031-08-12      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-80, Class KV                                            | CUSIP: 3136AUGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2537706 | PA      | $2483653.26   | 0.02%             | 2044-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2025-A, Class A3                 | CUSIP: 44935WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4817000 | PA      | $4842293.10   | 0.04%             | 2028-01-18      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLEB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3798000 | PA      | $3822354.03   | 0.04%             | 2028-07-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   8703000 | PA      | $8581243.81   | 0.08%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-66, Class LB                                            | CUSIP: 3136AFUQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33931 | PA      | $32560.99     | 0.00%             | 2043-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                      | CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1                        | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2286 | PA      | $1139.43      | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| GNMA                                                 | GNMA I, 15 Year                                                                  | CUSIP: 3622A2LJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       665 | PA      | $663.05       | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4952, Class PA                                              | CUSIP: 3137FR4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1065229 | PA      | $906149.05    | 0.01%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  18495000 | PA      | $18921592.54  | 0.17%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                               | Standard Chartered plc                                                           | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  12805000 | PA      | $12794507.84  | 0.12%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3704, Class CZ                                              | CUSIP: 3137A0XN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1042376 | PA      | $994585.58    | 0.01%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KBC Group NV                                         | KBC Group NV                                                                     | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |  18155000 | PA      | $18217397.46  | 0.17%             | 2030-10-16      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78017DAF5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  28810000 | PA      | $28907924.61  | 0.27%             | 2028-03-27      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                     | FHF Issuer Trust, Series 2024-3A, Class A2                                       | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31012318 | PA      | $31038985.71  | 0.29%             | 2030-11-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J9TK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374795 | PA      | $329298.36    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H21, Class FA                                                  | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42581 | PA      | $42802.01     | 0.00%             | 2061-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                   | F&G Global Funding                                                               | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  20970000 | PA      | $21379373.82  | 0.20%             | 2027-06-10      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2021-2A, Class B                                | CUSIP: 67578AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4423448 | PA      | $4371793.11   | 0.04%             | 2028-09-20      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2326, Class ZQ                                              | CUSIP: 3133TTX48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46143 | PA      | $47007.31     | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5444, Class BC                                              | CUSIP: 3137HFCP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9573799 | PA      | $9576292.14   | 0.09%             | 2049-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-71, Class JT                                            | CUSIP: 31398FAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127489 | PA      | $133659.87    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                      | NYMT Loan Trust, Series 2024-BPL3, Class A1                                      | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6946909.20   | 0.06%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2025-1A, Class A                | CUSIP: 82653CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4985363 | PA      | $4983432.71   | 0.05%             | 2042-01-21      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 1888, Class Z                                               | CUSIP: 3133T7RW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1584 | PA      | $1581.98      | 0.00%             | 2026-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444000 | PA      | $1462527.49   | 0.01%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138X5R82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4358271 | PA      | $4251250.84   | 0.04%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                         | Bain Capital Credit CLO Ltd., Series 2021-7A, Class A1R                          | CUSIP: 05682NAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24088000 | PA      | $23997115.98  | 0.22%             | 2035-01-22      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-61, Class PE                                            | CUSIP: 31396WWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1926266 | PA      | $1979405.99   | 0.02%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-3A, Class C                     | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6270749.38   | 0.06%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-100, Class WB                                           | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4607873 | PA      | $4422714.95   | 0.04%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3775, Class DB                                              | CUSIP: 3137A4UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167920 | PA      | $167220.59    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132LNYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3207402 | PA      | $3037869.01   | 0.03%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-83, Class CA                                            | CUSIP: 31397MXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339779 | PA      | $357921.24    | 0.00%             | 2038-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-41, Class CA                                            | CUSIP: 3136ANZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344855 | PA      | $327610.81    | 0.00%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C                | CUSIP: 82652QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293286 | PA      | $286993.83    | 0.00%             | 2037-11-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-80, Class EB                                            | CUSIP: 3136A7VD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54077 | PA      | $53796.35     | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530174 | PA      | $561707.24    | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DTT91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12456510 | PA      | $12540259.95  | 0.12%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31410LQE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233460 | PA      | $233093.11    | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-154, Class MW                                           | CUSIP: 31398SY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2537427 | PA      | $2468033.90   | 0.02%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7976433 | PA      | $8134367.75   | 0.07%             | 2048-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J8X40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8008354 | PA      | $7814128.86   | 0.07%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A9AZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1701933 | PA      | $1688763.79   | 0.02%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-59, Class HB                                            | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819507 | PA      | $830329.12    | 0.01%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2021-2, Class B                           | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18238401 | PA      | $17440795.75  | 0.16%             | 2026-12-17      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class D                  | CUSIP: 80290CCL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2652462 | PA      | $2667619.52   | 0.02%             | 2032-06-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-100, Class P                                            | CUSIP: 3136AUG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47840 | PA      | $46378.70     | 0.00%             | 2044-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                          | Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1                           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2996676 | PA      | $2984626.59   | 0.03%             | 2061-07-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622ABMG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20568594 | PA      | $20957977.49  | 0.19%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36179R3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5810675 | PA      | $5588313.11   | 0.05%             | 2031-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 394, Class C3                                               | CUSIP: 3136FGDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195189 | PA      | $32095.26     | 0.00%             | 2038-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2953, Class PG                                              | CUSIP: 31395PMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184907 | PA      | $190516.54    | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5421, Class EA                                              | CUSIP: 3137HCZM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12255659 | PA      | $12379627.11  | 0.11%             | 2046-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138MBWC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15325 | PA      | $15077.88     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-99, Class AF                                            | CUSIP: 31394U4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66162 | PA      | $65470.68     | 0.00%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A1                        | CUSIP: 69690EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13168697 | PA      | $13160743.15  | 0.12%             | 2032-08-08      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3305, Class IW                                              | CUSIP: 31397GTK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184741 | PA      | $8664.16      | 0.00%             | 2037-04-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                             | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDS0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   9495000 | PA      | $9721956.61   | 0.09%             | 2029-02-28      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3636, Class MZ                                              | CUSIP: 31398WFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2465252 | PA      | $2505613.24   | 0.02%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                   | Banco Bilbao Vizcaya Argentaria SA                                               | CUSIP: 05946KAK7<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |  24200000 | PA      | $24252353.31  | 0.22%             | 2026-09-14      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Dext ABS LLC                                         | Dext ABS LLC, Series 2025-1, Class A3                                            | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13625000 | PA      | $13591660.99  | 0.12%             | 2035-08-15      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4080, Class DA                                              | CUSIP: 3137ARRT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140840 | PA      | $135126.19    | 0.00%             | 2041-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                          | Diamond Resorts Owner Trust, Series 2021-1A, Class B                             | CUSIP: 25273CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200836 | PA      | $199052.15    | 0.00%             | 2033-11-21      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-203, Class HA                                                  | CUSIP: 38385BVL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15235019 | PA      | $15680513.81  | 0.14%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XK7C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8150982 | PA      | $7961521.14   | 0.07%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31374VCS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        81 | PA      | $80.57        | 0.00%             | 2025-10-01      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418CBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    733072 | PA      | $656539.30    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  24600000 | PA      | $25486319.80  | 0.23%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36179X4B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1707368 | PA      | $1757988.75   | 0.02%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                | Nomura Holdings, Inc.                                                            | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   8625000 | PA      | $8593742.40   | 0.08%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4129, Class AP                                              | CUSIP: 3137AVYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215838 | PA      | $209402.98    | 0.00%             | 2027-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                              | Carmax Auto Owner Trust, Series 2025-2, Class A3                                 | CUSIP: 14320AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6890000 | PA      | $6911376.91   | 0.06%             | 2030-03-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-117, Class FM                                           | CUSIP: 31396YAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102179 | PA      | $101407.03    | 0.00%             | 2038-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| VOLT XCIX LLC                                        | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                        | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1009500 | PA      | $1008893.38   | 0.01%             | 2051-04-25      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                               | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  12090000 | PA      | $12076129.87  | 0.11%             | 2026-06-16      | Variable      | 1.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410FWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25504 | PA      | $26073.67     | 0.00%             | 2037-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2023-3, Class C                               | CUSIP: 33846BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2550000 | PA      | $2591477.03   | 0.02%             | 2029-07-16      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                       | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4027244.40   | 0.04%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                        | AIB Group plc                                                                    | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14630000 | PA      | $14758977.49  | 0.14%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                  | Constellation Energy Generation LLC                                              | CUSIP: 30161MAS2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   4675000 | PA      | $4675000.00   | 0.04%             | 2025-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140J9VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8882252 | PA      | $8635740.50   | 0.08%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                  | Amcor Flexibles North America, Inc.                                              | CUSIP: 02344AAC2<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $15038581.20  | 0.14%             | 2028-03-17      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P8CR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1094878 | PA      | $1056823.55   | 0.01%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class B                                   | CUSIP: 68377TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4492695.15   | 0.04%             | 2033-02-08      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2963, Class ZG                                              | CUSIP: 31395TPJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296530 | PA      | $301506.15    | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-65, Class DZ                                                   | CUSIP: 38380B7B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2871663 | PA      | $2398986.41   | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class D                                  | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $12482906.80  | 0.11%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust               | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A2                 | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6487743 | PA      | $6488663.60   | 0.06%             | 2060-03-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-5, Class PA                                             | CUSIP: 31394B5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139867 | PA      | $138394.34    | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-37, Class BC                                            | CUSIP: 3136B17E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228086 | PA      | $214058.11    | 0.00%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329KPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8358966 | PA      | $8191989.06   | 0.08%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3131XCV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6329211 | PA      | $6116815.88   | 0.06%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A4                         | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5036777.50   | 0.05%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                     | Barings CLO Ltd., Series 2018-4A, Class A1R                                      | CUSIP: 06760XAL8<br>LEI: 549300JWUNSCHZHF6H67 | Long             | ABS-CBDO         | CORP              | KY        |  12848894 | PA      | $12849099.76  | 0.12%             | 2030-10-15      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Bank of New Zealand                                  | Bank of New Zealand                                                              | CUSIP: 06407EAG0<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |  15120000 | PA      | $15272335.21  | 0.14%             | 2028-02-07      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                          | SBNA Auto Receivables Trust, Series 2024-A, Class D                              | CUSIP: 78437PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2032754.60   | 0.02%             | 2030-04-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4206, Class DZ                                              | CUSIP: 3137B2FF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534728 | PA      | $502695.61    | 0.00%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H14, Class FA                                                  | CUSIP: 38376RCB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1582675 | PA      | $1582677.92   | 0.01%             | 2065-06-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class A                       | CUSIP: 22536VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7714000 | PA      | $7827304.00   | 0.07%             | 2034-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                          | Toronto-Dominion Bank (The)                                                      | CUSIP: 89115A2S0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  17645000 | PA      | $17840065.48  | 0.16%             | 2026-07-17      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3420, Class EI                                              | CUSIP: 31397RE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1568119 | PA      | $76641.65     | 0.00%             | 2037-08-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3934, Class KB                                              | CUSIP: 3137AG7J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398720 | PA      | $405547.12    | 0.00%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-3A, Class C                     | CUSIP: 301989AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6815000 | PA      | $6864155.91   | 0.06%             | 2028-06-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class FN                                              | CUSIP: 3137AY3P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228541 | PA      | $226878.90    | 0.00%             | 2041-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-64, Class DM                                            | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332372 | PA      | $334428.18    | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust           | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD2, Class 2A            | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90732 | PA      | $92460.90     | 0.00%             | 2043-06-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DNM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6482882 | PA      | $6525259.79   | 0.06%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                           | Constellation Brands, Inc.                                                       | CUSIP: 21036PBN7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |  13160000 | PA      | $13149783.37  | 0.12%             | 2026-02-02      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816DV8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  13755000 | PA      | $13916913.27  | 0.13%             | 2028-07-26      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CUW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    696808 | PA      | $701321.76    | 0.01%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4840000 | PA      | $4878520.50   | 0.04%             | 2028-08-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3160000 | PA      | $3069502.59   | 0.03%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHRN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158576 | PA      | $162049.50    | 0.00%             | 2036-10-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-10, Class FA                                            | CUSIP: 3136AVPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154418 | PA      | $152415.29    | 0.00%             | 2047-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36206W5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       127 | PA      | $127.19       | 0.00%             | 2026-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4922, Class GE                                              | CUSIP: 3137FNXZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644502 | PA      | $562586.51    | 0.01%             | 2049-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-43, Class HJ                                            | CUSIP: 31398RCG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116647 | PA      | $120827.27    | 0.00%             | 2040-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-139, Class NY                                           | CUSIP: 3136AAMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1024320 | PA      | $1037556.36   | 0.01%             | 2042-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75829 | PA      | $75237.31     | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2001-81, Class HE                                            | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1062079 | PA      | $1103698.17   | 0.01%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class A                | CUSIP: 82650DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7146399 | PA      | $7189248.33   | 0.07%             | 2041-06-20      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                       | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1858000 | PA      | $1875473.38   | 0.02%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-70, Class JA                                            | CUSIP: 3136B7NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93989 | PA      | $83262.22     | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-33, Class MA                                            | CUSIP: 3136B44U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373796 | PA      | $366475.11    | 0.00%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4199, Class YZ                                              | CUSIP: 3137B2BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3154585 | PA      | $2950750.27   | 0.03%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                | Nomura Holdings, Inc.                                                            | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  20765000 | PA      | $20066433.21  | 0.18%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-33, Class MS                                            | CUSIP: 31396VGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715577 | PA      | $65159.09     | 0.00%             | 2037-04-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| CarVal CLO VC Ltd.                                   | CarVal CLO VC Ltd., Series 2021-2A, Class A                                      | CUSIP: 14687MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1105000 | PA      | $1106753.64   | 0.01%             | 2034-10-15      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| DTE Energy Co.                                       | DTE Energy Co.                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |  20225000 | PA      | $20504583.32  | 0.19%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                       | Hyundai Auto Receivables Trust, Series 2024-A, Class A3                          | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9487000 | PA      | $9557907.74   | 0.09%             | 2029-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-45, Class GA                                            | CUSIP: 3136APET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116095 | PA      | $114457.29    | 0.00%             | 2041-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-131, Class KV                                                  | CUSIP: 38384EYL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3701408 | PA      | $3802169.12   | 0.03%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31417EEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204981 | PA      | $200412.15    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2018-K79, Class B                                   | CUSIP: 302956AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7844716.80   | 0.07%             | 2051-07-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-66, Class PF                                            | CUSIP: 31394EKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53035 | PA      | $52484.26     | 0.00%             | 2035-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 218                                                        | CUSIP: 3128CVUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51224 | PA      | $45078.44     | 0.00%             | 2032-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36202KXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       616 | PA      | $614.20       | 0.00%             | 2026-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P1, Class A4                         | CUSIP: 14688EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3560885.30   | 0.03%             | 2029-01-10      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EWG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736991 | PA      | $769366.98    | 0.01%             | 2038-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83100000 | PA      | $83888800.99  | 0.77%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-8, Class CA                                             | CUSIP: 3136ARRU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6898960 | PA      | $6584566.80   | 0.06%             | 2031-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                   | T-Mobile USA, Inc.                                                               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  17770000 | PA      | $16946900.71  | 0.16%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-90, Class ZU                                            | CUSIP: 31394BVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649596 | PA      | $680325.38    | 0.01%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3609, Class SA                                              | CUSIP: 31398LNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1021538 | PA      | $61486.40     | 0.00%             | 2039-12-15      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class C                                                 | CUSIP: 30322DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4788776.50   | 0.04%             | 2038-09-17      | Fixed         | 1.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    680205 | PA      | $697059.02    | 0.01%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14025000 | PA      | $14063521.07  | 0.13%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4074, Class PA                                              | CUSIP: 3137ASLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159699 | PA      | $157423.59    | 0.00%             | 2041-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140HJL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174803 | PA      | $167357.96    | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                      | CoreVest American Finance Trust, Series 2020-3, Class A                          | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    952548 | PA      | $934804.35    | 0.01%             | 2053-08-15      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class B            | CUSIP: 10806EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3997580.40   | 0.04%             | 2030-08-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class A4                         | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3297873.48   | 0.03%             | 2030-03-11      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                               | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8G8<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |  32680000 | PA      | $32658013.55  | 0.30%             | 2027-10-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2024-2A, Class A                                                 | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7495103 | PA      | $7358511.09   | 0.07%             | 2042-03-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-115, Class E                                                   | CUSIP: 38384CB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16758299 | PA      | $16891356.93  | 0.16%             | 2057-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-42, Class CI                                            | CUSIP: 31393BUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91190 | PA      | $9636.28      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                     | Harley-Davidson Motorcycle Trust, Series 2024-A, Class A3                        | CUSIP: 412922AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15539000 | PA      | $15692640.31  | 0.14%             | 2029-03-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83834 | PA      | $85621.24     | 0.00%             | 2036-08-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113407 | PA      | $118899.97    | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2024-1, Class A                             | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1392657 | PA      | $1399136.67   | 0.01%             | 2027-11-15      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4492, Class BW                                              | CUSIP: 3137BKNY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2314410 | PA      | $2224770.35   | 0.02%             | 2035-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-102, Class PZ                                           | CUSIP: 3136B0EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2469392 | PA      | $2029422.34   | 0.02%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 198935000 | PA      | $198297787.32 | 1.82%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                      | Reach ABS Trust, Series 2025-1A, Class A                                         | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4671260 | PA      | $4667189.23   | 0.04%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4620                                                        | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195630 | PA      | $26382.79     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4550, Class NA                                              | CUSIP: 3137BN2R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200916 | PA      | $198093.68    | 0.00%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31385XRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3222 | PA      | $3228.32      | 0.00%             | 2030-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QGL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88748 | PA      | $89184.55     | 0.00%             | 2036-12-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QDW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353401 | PA      | $295601.81    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-141, Class MA                                           | CUSIP: 3136A26C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24876 | PA      | $24688.56     | 0.00%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KBC Group NV                                         | KBC Group NV                                                                     | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   5645000 | PA      | $5798773.86   | 0.05%             | 2029-01-19      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25310 | PA      | $25616.19     | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Oportun Funding Trust                                | Oportun Funding Trust, Series 2024-3, Class A                                    | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11181182 | PA      | $11180575.50  | 0.10%             | 2029-08-15      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Westpac New Zealand Ltd.                             | Westpac New Zealand Ltd.                                                         | CUSIP: 96122FAA5<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |   8935000 | PA      | $9018750.97   | 0.08%             | 2028-02-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Structured Pass-Through Securities Certificates, Series T-20, Class A6     | CUSIP: 3133TMFZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       268 | PA      | $264.88       | 0.00%             | 2029-09-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138ENTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568664 | PA      | $561283.59    | 0.01%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-46, Class FW                                            | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164998 | PA      | $163512.97    | 0.00%             | 2036-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341007 | PA      | $328543.34    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KKR Static CLO Ltd.                                  | KKR Static CLO Ltd., Series 2022-1A, Class AR2                                   | CUSIP: 48255QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14933813 | PA      | $14904781.97  | 0.14%             | 2031-07-20      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P2, Class A3                         | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7714000 | PA      | $7785062.91   | 0.07%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N1, Class A3                         | CUSIP: 14687QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6523280.40   | 0.06%             | 2028-03-10      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2021-2, Class D                   | CUSIP: 80286XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563716 | PA      | $561801.64    | 0.01%             | 2027-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10697035.58  | 0.10%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CUTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128840 | PA      | $129452.47    | 0.00%             | 2031-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-102, Class IB                                           | CUSIP: 3136A8SW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648700 | PA      | $14325.64     | 0.00%             | 2027-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-137, Class DT                                                  | CUSIP: 38379GHY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7048015 | PA      | $6549515.20   | 0.06%             | 2044-09-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06417XAN1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  21890000 | PA      | $21916362.78  | 0.20%             | 2026-02-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-26, Class CG                                            | CUSIP: 3136AR5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25730280 | PA      | $24618222.76  | 0.23%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418ASX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610732 | PA      | $532170.05    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13850000 | PA      | $13587383.09  | 0.12%             | 2026-12-09      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Diageo Investment Corp.                              | Diageo Investment Corp.                                                          | CUSIP: 25245BAC1<br>LEI: S4G8DPIPDVCF6CB81Z61 | Long             | DBT              | CORP              | US        |   8770000 | PA      | $8948183.95   | 0.08%             | 2030-08-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-183, Class A                                                   | CUSIP: 38384HAA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7472555 | PA      | $7436887.67   | 0.07%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4505000 | PA      | $4638008.32   | 0.04%             | 2028-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2022-1, Class C                             | CUSIP: 92512VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1853628 | PA      | $1850417.97   | 0.02%             | 2027-08-16      | Fixed         | 5.03%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2018-K733, Class C                                  | CUSIP: 30297MAU4<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6948320.40   | 0.06%             | 2025-09-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                   | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7072000 | PA      | $7227279.20   | 0.07%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408126 | PA      | $418596.30    | 0.00%             | 2037-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-6, Class HD                                             | CUSIP: 3136ABU84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290670 | PA      | $256272.14    | 0.00%             | 2042-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-77, Class QG                                            | CUSIP: 31392F4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194543 | PA      | $198795.67    | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-16, Class FC                                            | CUSIP: 31394V5L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41058 | PA      | $40634.99     | 0.00%             | 2036-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H13, Class FG                                                  | CUSIP: 38376RCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84863 | PA      | $85063.83     | 0.00%             | 2065-04-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149386 | PA      | $1099421.29   | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 38 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-38A, Class AR2              | CUSIP: 64133RAU0<br>LEI: 549300SM4FYZ8US63U33 | Long             | ABS-CBDO         | CORP              | KY        |  14000000 | PA      | $13926192.00  | 0.13%             | 2036-10-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H06, Class FC                                                  | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    951465 | PA      | $955517.34    | 0.01%             | 2066-02-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-81, Class NC                                            | CUSIP: 3136AFN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164057 | PA      | $161896.63    | 0.00%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-144, Class DB                                                  | CUSIP: 38384WTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9867244 | PA      | $10062555.52  | 0.09%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    527241 | PA      | $507630.75    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3844, Class FA                                              | CUSIP: 3137A8VK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167501 | PA      | $165604.79    | 0.00%             | 2041-04-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10773962 | PA      | $10222325.13  | 0.09%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329PNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8125546 | PA      | $7938404.98   | 0.07%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2020-1A, Class A                                                 | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    669495 | PA      | $646758.24    | 0.01%             | 2037-10-20      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR6, Class 4A1 | CUSIP: 65535VRK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185402 | PA      | $280963.29    | 0.00%             | 2035-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-14, Class AC                                            | CUSIP: 31398MEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85499 | PA      | $84904.68     | 0.00%             | 2030-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W3C6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  30055000 | PA      | $30004268.66  | 0.28%             | 2029-05-09      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2023-1, Class C                             | CUSIP: 924933AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1540184.70   | 0.01%             | 2028-11-15      | Fixed         | 8.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3656, Class PM                                              | CUSIP: 31398VLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1677994 | PA      | $1712110.04   | 0.02%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H16, Class FM                                                  | CUSIP: 38376REA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1466548 | PA      | $1467120.63   | 0.01%             | 2065-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NKEF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23627 | PA      | $24121.76     | 0.00%             | 2037-08-01      | Variable      | 7.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-59, Class HZ                                                   | CUSIP: 38377FXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000124 | PA      | $991656.53    | 0.01%             | 2040-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2020-M10, Class X1                                             | CUSIP: 3136B9DS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53763688 | PA      | $3228928.82   | 0.03%             | 2030-12-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-133, Class WA                                           | CUSIP: 3136AHT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135836 | PA      | $1103592.94   | 0.01%             | 2033-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3005, Class PV                                              | CUSIP: 31395WJG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       701 | PA      | $722.54       | 0.00%             | 2033-10-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                | NextEra Energy Capital Holdings, Inc.                                            | CUSIP: 65339KBS8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   7435000 | PA      | $7454278.73   | 0.07%             | 2025-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $17613984.42  | 0.16%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-4, Class B                   | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817000 | PA      | $820839.65    | 0.01%             | 2029-09-17      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                               | Standard Chartered plc                                                           | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  33120000 | PA      | $33580036.80  | 0.31%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                      | Post Road Equipment Finance LLC, Series 2024-1A, Class A2                        | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11440108 | PA      | $11492331.72  | 0.11%             | 2029-11-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485311 | PA      | $499667.04    | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR1, Class B                                  | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4938062.00   | 0.05%             | 2039-05-19      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417Y3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512850 | PA      | $515334.62    | 0.00%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-37, Class CY                                            | CUSIP: 31398MJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35034 | PA      | $35541.06     | 0.00%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-80, Class JP                                            | CUSIP: 3136AUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549287 | PA      | $482952.10    | 0.00%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXHQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10787623 | PA      | $10533068.64  | 0.10%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class B            | CUSIP: 107933AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5516054.50   | 0.05%             | 2028-08-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                              | Symphony CLO Ltd., Series 2020-23A, Class AR2                                    | CUSIP: 87167NDL6<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |  23556819 | PA      | $23515217.43  | 0.22%             | 2034-01-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2023-3A, Class A                             | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10756998.72  | 0.10%             | 2028-02-25      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                                   | Dryden CLO Ltd., Series 2019-68A, Class ARR                                      | CUSIP: 26252QAS1<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999410.00   | 0.02%             | 2035-07-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                 | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   7200000 | PA      | $7299419.90   | 0.07%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A2                         | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3581011 | PA      | $3579369.33   | 0.03%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X5XF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1934154 | PA      | $1855526.75   | 0.02%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-84, Class BA                                                   | CUSIP: 38384NTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19704055 | PA      | $19874326.05  | 0.18%             | 2045-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132D57M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3091594 | PA      | $2651901.91   | 0.02%             | 2036-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 31297KUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46262 | PA      | $47918.71     | 0.00%             | 2032-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2736, Class PE                                              | CUSIP: 31394PJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2089294 | PA      | $2119407.84   | 0.02%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2023-1A, Class B                                | CUSIP: 67571BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6348000 | PA      | $6384140.43   | 0.06%             | 2029-07-20      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                              | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7073000 | PA      | $7244064.75   | 0.07%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31418UED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100131 | PA      | $98570.05     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-1A, Class A3                      | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4037690.40   | 0.04%             | 2028-10-16      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                               | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242135 | PA      | $245920.80    | 0.00%             | 2034-08-25      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X97K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2068156 | PA      | $1998801.59   | 0.02%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  11975000 | PA      | $12056612.62  | 0.11%             | 2027-01-23      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4419686 | PA      | $4444649.93   | 0.04%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Reference REMIC, Series R003, Class ZA                                    | CUSIP: 31396C3Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19256018 | PA      | $19966692.12  | 0.18%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H16, Class CF                                                  | CUSIP: 38375UF21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3581750 | PA      | $3593856.70   | 0.03%             | 2067-07-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                | BlueMountain CLO Ltd., Series 2021-32A, Class AR                                 | CUSIP: 09631EAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  27118000 | PA      | $27088631.21  | 0.25%             | 2034-10-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-28, Class JE                                            | CUSIP: 3136ANVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20990652 | PA      | $20162883.89  | 0.19%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-83, Class KP                                                   | CUSIP: 38382GDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250437 | PA      | $219556.58    | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                       | VStrong Auto Receivables Trust, Series 2023-A, Class B                           | CUSIP: 92920CAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5375000 | PA      | $5486619.40   | 0.05%             | 2030-02-15      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-15, Class ZG                                            | CUSIP: 3136B1HM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1520743 | PA      | $1369376.84   | 0.01%             | 2048-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1376863 | PA      | $1199784.76   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                              | JPMorgan Mortgage Trust, Series 2004-S2, Class 5A1                               | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99049 | PA      | $97720.34     | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-51, Class KC                                            | CUSIP: 3136APJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172114 | PA      | $164665.27    | 0.00%             | 2045-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S47F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134169 | PA      | $137878.82    | 0.00%             | 2038-01-01      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-137, Class BA                                           | CUSIP: 3136AHSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138616 | PA      | $133367.41    | 0.00%             | 2029-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A                | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  22865000 | PA      | $22525605.66  | 0.21%             | 2027-02-20      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244571 | PA      | $239193.32    | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K735, Class B                                  | CUSIP: 30298FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15980000 | PA      | $15781899.14  | 0.15%             | 2026-05-25      | Variable      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2022-SFR6, Class B                            | CUSIP: 74334DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4008455.60   | 0.04%             | 2039-07-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LKJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6419275 | PA      | $6222492.16   | 0.06%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H22, Class FA                                                  | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2355155 | PA      | $2361066.06   | 0.02%             | 2066-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                | Sumitomo Mitsui Financial Group, Inc.                                            | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  20905000 | PA      | $20841368.73  | 0.19%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2                      | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2407471 | PA      | $2426737.34   | 0.02%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EQJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504634 | PA      | $489799.20    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M67C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487426 | PA      | $482262.07    | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H20, Class BA                                                  | CUSIP: 38375BVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91141 | PA      | $91650.33     | 0.00%             | 2062-09-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2023-1A, Class D                                     | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1993000 | PA      | $2018734.21   | 0.02%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3585, Class KW                                              | CUSIP: 31398K5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1048227 | PA      | $1047645.05   | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                        | Voya CLO Ltd., Series 2018-1A, Class A2                                          | CUSIP: 92917AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4506012.00   | 0.04%             | 2031-04-19      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AD2F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1932079 | PA      | $1950598.22   | 0.02%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2025-AA, Class B                          | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1511109.00   | 0.01%             | 2038-05-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                          | Citibank NA                                                                      | CUSIP: 17325FBC1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |  12135000 | PA      | $12309598.50  | 0.11%             | 2026-12-04      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4646, Class JV                                              | CUSIP: 3137BUEU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6318866 | PA      | $6235053.38   | 0.06%             | 2036-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-A, Class A3                                   | CUSIP: 78414SAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19499342 | PA      | $19538958.69  | 0.18%             | 2026-11-20      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2022-2A, Class B                               | CUSIP: 78397WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1590057 | PA      | $1593420.22   | 0.01%             | 2032-02-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-9, Class CB                                             | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9639579 | PA      | $9860164.30   | 0.09%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4675, Class EZ                                              | CUSIP: 3137BXN40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1724383 | PA      | $1525867.82   | 0.01%             | 2047-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-42, Class B                                             | CUSIP: 3136BQMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16151809 | PA      | $16402475.02  | 0.15%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2021-1A, Class A                                | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   6069344 | PA      | $5675006.96   | 0.05%             | 2041-05-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class B                   | CUSIP: 64830RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4847768.00   | 0.04%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XRYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24301671 | PA      | $24640327.03  | 0.23%             | 2044-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EM6K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246993 | PA      | $246471.71    | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4423, Class VN                                              | CUSIP: 3137BFGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677790 | PA      | $671621.42    | 0.01%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3952, Class BQ                                              | CUSIP: 3137AHWJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1787803 | PA      | $1623202.95   | 0.01%             | 2041-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                       | Hertz Vehicle Financing LP, Series 2021-2A, Class B                              | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3473693.32   | 0.03%             | 2027-12-27      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3013, Class HZ                                              | CUSIP: 31395XRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486256 | PA      | $493229.69    | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer